Moody's correlated binomial default distributions for inhomogeneous portfolios

DOI10.1080/14697680903419685zbMath1210.91142arXivphysics/0603036OpenAlexW2106232711MaRDI QIDQ3169218

Masato Hisakado, Kenji Kitsukawa, Shintaro Mori

Publication date: 28 April 2011

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

Full work available at URL: https://arxiv.org/abs/physics/0603036

zbMATH Keywords

financial engineeringprobability processespricing of derivatives securities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Credit risk (91G40)

Cites Work

• Unnamed Item
• Correlated binomial models and correlation structures

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