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Quantifying credit portfolio losses under multi-factor models - MaRDI portal

Quantifying credit portfolio losses under multi-factor models (Q5031704)

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scientific article; zbMATH DE number 7474731
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English
Quantifying credit portfolio losses under multi-factor models
scientific article; zbMATH DE number 7474731

    Statements

    title
    Quantifying credit portfolio losses under multi-factor models (English)
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    publication date
    16 February 2022
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    zbMATH Keywords
    credit risk
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    value-at-risk
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    expected shortfall
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    multi-factor models
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    Gaussian copula
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    \(t\)-copula
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    Fourier transform inversion
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    Haar wavelets
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65T60
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    91G40
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    91G10
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    62P05
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    zbMATH DE Number
    7474731
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    OpenAlex ID
    W2793950976
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