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Bayesian synthesis of portfolio credit risk with missing ratings
Parnes, Dror
- In:
Journal of risk
18
(
2015/2016
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10013262945
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Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
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