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~subject:"Kreditrisiko"
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Kreditrisiko
Schätztheorie
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saddlepoint approximation
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saddlepoint approximations
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expected shortfall
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Herbertsson, Alexander
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García-Céspedes, Rúben
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Huang, Zhenzhen
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Kwok, Yue-Kuen
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Lütkebohmert, Eva
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1
Saddlepoint
approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014518798
Saved in:
2
Saddlepoint
approximations for credit portfolios with stochastic recoveries
Herbertsson, Alexander
-
2022
Persistent link: https://www.econbiz.de/10013369349
Saved in:
3
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
4
Extended
saddlepoint
methods for credit risk measurement
García-Céspedes, Rúben
;
Moreno, Manuel
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011656202
Saved in:
5
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
6
Failure of
saddle-point
method in the presence of double defaults
Lütkebohmert, Eva
-
2009
We show that the
saddle-point
approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a …) approach of Basel II, the
saddle-point
equivalent to the GA is too complex and involved to be competitive to a standard Monte …
Persistent link: https://www.econbiz.de/10010270010
Saved in:
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