CreditRisk+Model with Dependent Risk Factors
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Publication:5379134
DOI10.1080/10920277.2014.976311zbMath1414.91402OpenAlexW2038799563MaRDI QIDQ5379134
Ruodu Wang, Liang Peng, Jing-Ping Yang
Publication date: 28 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2014.976311
conditional independencemultivariate copulasPanjer's recursioncredit risk modeldependent risk factors
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
Related Items (6)
A limit distribution of credit portfolio losses with low default probabilities ⋮ The loss given default of a low-default portfolio with weak contagion ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Quantification of Operational Risk: A Scenario-Based Approach ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS
Uses Software
Cites Work
- The credit risk\(^{+}\) model with general sector correlations
- A class of multivariate copulas with bivariate Fréchet marginal copulas
- An introduction to copulas.
- Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- CreditRisk\(^+\) in the banking industry.
- The compound Poisson random variable's approximation to the individual risk model
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