Estimation of correlations in portfolio credit risk models based on noisy security prices (Q1657453)
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scientific article; zbMATH DE number 6916997
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of correlations in portfolio credit risk models based on noisy security prices |
scientific article; zbMATH DE number 6916997 |
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Estimation of correlations in portfolio credit risk models based on noisy security prices (English)
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13 August 2018
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credit risk
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correlation
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estimation
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noise
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maximum likelihood
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unscented Kalman filter (UKF)
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