A generic framework for stochastic loss-given-default

DOI10.1016/j.cam.2010.11.006zbMath1208.91154OpenAlexW2141266995MaRDI QIDQ629521

Geert Van Damme

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.11.006

zbMATH Keywords

Lévy processfactor modelBasel IIloss-given-default

Mathematics Subject Classification ID

Related Items (2)

LLN-type approximations for large portfolio losses ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

Cites Work

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