Tail behaviour of credit loss distributions for general latent factor models (Q4811679)
From MaRDI portal
scientific article; zbMATH DE number 2096908
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tail behaviour of credit loss distributions for general latent factor models |
scientific article; zbMATH DE number 2096908 |
Statements
Tail behaviour of credit loss distributions for general latent factor models (English)
0 references
6 September 2004
0 references
extreme value theory
0 references
economic capital
0 references
second-order expansions
0 references
portfolio credit risk
0 references
