Tail behaviour of credit loss distributions for general latent factor models

DOI10.1080/1350486032000160786zbMath1070.91032OpenAlexW2143254167MaRDI QIDQ4811679

Stefan Straetmans, Pieter Klaassen, André Lucas, Peter Spreij

Publication date: 6 September 2004

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486032000160786

zbMATH Keywords

extreme value theoryportfolio credit riskeconomic capitalsecond-order expansions

Mathematics Subject Classification ID

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