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Predicting loss distributions for small-size defaulted-debt portfolios using a convolution technique that allows probability masses to occur at boundary points
Chu, Chih-Kang; Hwang, Ruey-Ching - In: Journal of financial services research : JFSR 56 (2019) 1, pp. 95-117
Persistent link: https://www.econbiz.de/10012301329
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A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
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Multiple risk factor dependence structures : distributional properties
Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
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Remarks on composite Bernstein copula and its application to credit risk analysis
Guo, Nan; Wang, Fang; Yang, Jingping - In: Insurance / Mathematics & economics 77 (2017), pp. 38-48
Persistent link: https://www.econbiz.de/10011783884
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Modelling European sovereign default probabilities with copulas
Szetela, Beata; Mentel, Grzegorz; Brożyna, Jacek - In: Economic research 32 (2019) 1,2, pp. 1716-1726
Persistent link: https://www.econbiz.de/10012433859
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Mapping conditional scenarios for knowledge structuring in (tail) dependence elicitation
Werner, Christoph; Bedford, Tim; Quigley, John - In: Journal of the Operational Research Society 72 (2021) 4, pp. 889-907
Persistent link: https://www.econbiz.de/10012501001
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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Stochastische Methoden zur Quantifizierung von versicherungstechnischen Risiken und Kreditrisiken
Maier, Ramona - 2010
Persistent link: https://www.econbiz.de/10003957402
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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Aspekte der stochastischen Modellierung von Ausfallwahrscheinlichkeiten in Kreditportfoliomodellen
Kiesel, Rüdiger; Schmid, Bernd - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 51-83). 2000
Persistent link: https://www.econbiz.de/10001491332