Credit portfolio risk and asset price cycles

DOI10.1007/S10287-007-0057-9zbMath1175.91191OpenAlexW2034132133MaRDI QIDQ1031951

Martin Summer, Klaus Rheinberger

Publication date: 23 October 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-007-0057-9

zbMATH Keywords

credit riskintegration of market and credit riskquantitative risk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Uses Software

• QRM

Cites Work

• Bootstrap confidence intervals. With comments and a rejoinder by the authors
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