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Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43
Persistent link: https://www.econbiz.de/10009424790
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
Cover Image
Modeling sector correlations with CreditRisk+ : the commen background vector model
Fischer, Matthias; Dietz, Christian - In: The journal of credit risk : published quarterly by … 7 (2011/12) 4, pp. 23-43
Persistent link: https://www.econbiz.de/10009932513