Asymptotic behaviour of multivariate default probabilities and default correlations under stress

DOI10.1017/jpr.2015.9zbMath1345.60032OpenAlexW2300161248MaRDI QIDQ2804413

Michael Kalkbrener, Ludger Overbeck, Natalie Packham

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470559

zbMATH Keywords

asymptoticsfinancial risk managementstress testingmax-domain of attractionelliptic distributioncredit portfolio modelingdefault correlationsmultivariate default probabilities

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Limit theorems in probability theory (60F99) Credit risk (91G40)

Related Items

A limit distribution of credit portfolio losses with low default probabilities ⋮ Up- and down-correlations in normal variance mixture models

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