On loss distributions from installment-repaid loans

DOI10.1007/s10985-005-5239-6zbMath1157.91379OpenAlexW1986190682WikidataQ51958846 ScholiaQ51958846MaRDI QIDQ995970

Martin Crowder, David J. Hand

Publication date: 10 September 2007

Published in: Lifetime Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10985-005-5239-6

zbMATH Keywords

credit riskdefault timeportfolio riskdiscrete-time survivalinstallment repaymentsloan lifetimeloss distributionsrepayment failure time

Mathematics Subject Classification ID

Uses Software

• CreditRisk+

Cites Work

• Survival in dynamic environments
• Numerical inversions of characteristic functions
• Numerical inversion of a characteristic function

This page was built for publication: On loss distributions from installment-repaid loans