LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (Q5427660)
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scientific article; zbMATH DE number 5213437
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK |
scientific article; zbMATH DE number 5213437 |
Statements
LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (English)
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21 November 2007
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large deviations
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portfolio credit risk
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multifactor model
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Gaussian copula
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