On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Year of publication: |
2005
|
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Authors: | Weißbach, Rafael ; von Lieres und Wilkau, Carsten |
Institutions: | Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund |
Subject: | Portfolio credit risk | CreditRisk+ | Recovery |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2005,06 |
Classification: | G18 - Government Policy and Regulation ; G11 - Portfolio Choice ; C51 - Model Construction and Estimation ; G33 - Bankruptcy; Liquidation |
Source: |
-
On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach
Weißbach, Rafael, (2005)
-
Testing Homogeneity of Time-Continuous Rating Transitions
Lawrenz, Claudia, (2005)
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Testing Homogeneity of Time-Continuous Rating Transitions
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On partial defaults in portfolio credit risk: Comparing economic and regulatory view
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Testing additivity by kernel based methods - what is a reasonable test?
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A comparison of different nonparametric methods for inference on additive models
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