Primary-firm-driven portfolio loss
Year of publication: |
June 2017
|
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Authors: | Turnbull, Stuart M. |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 13.2017, 2, p. 33-52
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Subject: | primary and secondary firms | Gaussian latent-factor model | expected loss | value-at-risk (VaR) | expected shortfall (ES) | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Verlust | Loss | Statistische Verteilung | Statistical distribution | Erwartungsbildung | Expectation formation | Kreditrisiko | Credit risk | Risikomanagement | Risk management |
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