Max-factor individual risk models with application to credit portfolios
Michel Denuit; Anna Kiriliouk; Johan Segers
| Year of publication: |
2015
|
|---|---|
| Authors: | Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 162-172
|
| Subject: | Calibration | Default indicator | Dependence modelling | Latent factors | Loss occurrence | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011312076