Model risk in credit risk

DOI10.1111/mafi.12285zbMath1529.91070arXiv1906.06164OpenAlexW3081372861MaRDI QIDQ6078435

Elisa Luciano, Roberto Fontana, Patrizia Semeraro

Publication date: 27 September 2023

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

Full work available at URL: https://arxiv.org/abs/1906.06164

zbMATH Keywords

credit riskmodel riskrisk measuresdefault riskexchangeable Bernoulli distributions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (4)

Exchangeable FGM copulas ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions ⋮ Computational and analytical bounds for multivariate Bernoulli distributions

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