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Tail behaviour of credit loss distributions for general latent factor models
Lucas, André; Klaassen, Pieter; Spreij, Peter; … - In: Applied mathematical finance 10 (2003) 4, pp. 337-357
Persistent link: https://www.econbiz.de/10001864390
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Credit risk models
Jarrow, Robert A. - In: Annual review of financial economics 1 (2009), pp. 37-68
Persistent link: https://www.econbiz.de/10003924491
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Decoding default risk : a review of modeling approaches, findings, and estimation methods
Bakshi, Gurdip S.; Gao, Xiaohui; Zhong, Zhaodong - In: Annual review of financial economics 14 (2022), pp. 391-413
Persistent link: https://www.econbiz.de/10013461162