The two defaults scenario for stressing credit portfolio loss distributions
Year of publication: |
2016
|
---|---|
Authors: | Tasche, Dirk |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 9.2016, 1, p. 1-18
|
Publisher: |
Basel : MDPI |
Subject: | CreditRisk+ | stress test | scenario analysis | joint default probability |
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