The credit risk\(^{+}\) model with general sector correlations (Q623760)
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scientific article; zbMATH DE number 5847856
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The credit risk\(^{+}\) model with general sector correlations |
scientific article; zbMATH DE number 5847856 |
Statements
The credit risk\(^{+}\) model with general sector correlations (English)
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8 February 2011
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credit risk\(^{+}\)
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compound gamma distribution
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value at risk
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risk contribution
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correlation
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portfolio loss distribution
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moment generating function
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