Risk measurement for portfolio credit risk based on a mixed Poisson model

DOI10.1155/2014/597814zbMath1422.91743OpenAlexW2032423227WikidataQ59039405 ScholiaQ59039405MaRDI QIDQ2321449

Huanhuan Yu, Rong-Da Chen

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/597814

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

Uses Software

• CreditRisk+

Cites Work

• The Pricing of Options and Corporate Liabilities
• Measuring and forecasting volatility in Chinese stock market using HAR-CJ-M model
• Structural model of credit migration
• STUDY ON THE FRACTAL AND CHAOTIC FEATURES OF THE SHANGHAI COMPOSITE INDEX
• Integrated risk modelling
• A COPULA-BASED CORRELATION MEASURE AND ITS APPLICATION IN CHINESE STOCK MARKET

This page was built for publication: Risk measurement for portfolio credit risk based on a mixed Poisson model