Showing 1 - 10 of 3,071
Persistent link: https://www.econbiz.de/10011695012
Persistent link: https://www.econbiz.de/10013407268
Persistent link: https://www.econbiz.de/10011525108
Persistent link: https://www.econbiz.de/10011795379
Persistent link: https://www.econbiz.de/10003939667
Persistent link: https://www.econbiz.de/10009309137
Persistent link: https://www.econbiz.de/10009787522
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...
Persistent link: https://www.econbiz.de/10010348358
Persistent link: https://www.econbiz.de/10009582493
Persistent link: https://www.econbiz.de/10003271380