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EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS - MaRDI portal

EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (Q4994445)

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scientific article; zbMATH DE number 7360861
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EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
scientific article; zbMATH DE number 7360861

    Statements

    title
    EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS (English)
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    author
    Zhenzhen Huang
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    Yue Kuen Kwok
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    publication date
    18 June 2021
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    zbMATH Keywords
    value-at-risk
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    expected shortfall
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    CreditRisk\(^+\) common background vector models
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    Johnson curve fitting
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    saddlepoint approximation
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    importance sampling
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    check function
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    describes a project that uses
    AS 99
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    CreditRisk+
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    Johnson Curve
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    Identifiers

    zbMATH DE Number
    7360861
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    OpenAlex ID
    W3146800181
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