CreditRisk\(^+\) in the banking industry.

zbMath1046.91001MaRDI QIDQ1883333

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Publication date: 12 October 2004

Published in: Springer Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Related Items (12)

pTAS distributions with application to risk management ⋮ Poisson-Gamma mixture processes and applications to premium calculation ⋮ Stratified importance sampling for a Bernoulli mixture model of portfolio credit risk ⋮ A generalization of Panjer's recursion and numerically stable risk aggregation ⋮ CreditRisk⁺Model with Dependent Risk Factors ⋮ Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study ⋮ Compound Poisson approximation to convolutions of compound negative binomial variables ⋮ Notes on discrete compound Poisson model with applications to risk theory ⋮ On the Sums of Compound Negative Binomial and Gamma Random Variables ⋮ AN IMPROVED APPROACH TO EVALUATE DEFAULT PROBABILITIES AND DEFAULT CORRELATIONS WITH CONSISTENCY ⋮ Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS

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