The credit risk\(^{+}\) model with general sector correlations

DOI10.1007/s10100-009-0084-4zbMath1204.91134OpenAlexW2110971974MaRDI QIDQ623760

Amogh Deshpande, Srikanth K. Iyer

Publication date: 8 February 2011

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-009-0084-4

zbMATH Keywords

correlationmoment generating functionvalue at riskrisk contributioncompound gamma distributioncredit risk\(^{+}\)portfolio loss distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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