Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework

DOI10.1080/15598608.2016.1141733zbMath1420.91487OpenAlexW2346750884MaRDI QIDQ2323171

Kevin Jakob, Christoph Köstler, Matthias Fischer

Publication date: 30 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2016.1141733

zbMATH Keywords

saddlepoint approximationMonte Carlo\(\text{CreditRisk}^+\)credit portfolio modelPD-LGD correlationsector correlationstochastic LGDs

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (1)

EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS

Uses Software

• CreditRisk+

Cites Work

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• CreditRisk\(^+\) in the banking industry.
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions

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