CreditRisk+
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Related Items (45)
Risk factor analysis and portfolio immunization in the corporate bond market ⋮ Computation of credit portfolio loss distribution by a cross entropy method ⋮ Dependent defaults and losses with factor copula models ⋮ Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula ⋮ pTAS distributions with application to risk management ⋮ Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo ⋮ Poisson-Gamma mixture processes and applications to premium calculation ⋮ Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns ⋮ On the sample path properties of mixed Poisson processes ⋮ A generalization of Panjer's recursion and numerically stable risk aggregation ⋮ Generalized CreditRisk\(^+\) model and applications ⋮ Efficient simulations for a Bernoulli mixture model of portfolio credit risk ⋮ Applying importance sampling for estimating coherent credit risk contributions ⋮ Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model ⋮ CreditRisk+Model with Dependent Risk Factors ⋮ Credit scoring based on the set-valued identification method ⋮ A class of multivariate copulas with bivariate Fréchet marginal copulas ⋮ Analysis of default data using hidden Markov models ⋮ A framework to measure integrated risk ⋮ Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ Calibration of the default probability model ⋮ An approximation method for risk aggregations and capital allocation rules based on additive risk factor models ⋮ Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ A hybrid heuristic approach to discrete multi-objective optimization of credit portfolios ⋮ GRAPHICAL MODELS FOR CORRELATED DEFAULTS ⋮ Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study ⋮ Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach ⋮ An integrated pricing model for defaultable loans and bonds ⋮ LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK ⋮ Analytical methods for hedging systematic credit risk with linear factor portfolios ⋮ On loss distributions from installment-repaid loans ⋮ The default risk charge approach to regulatory risk measurement processes ⋮ On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk ⋮ Efficient simulation of Lévy-driven point processes ⋮ Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach ⋮ Notes on discrete compound Poisson model with applications to risk theory ⋮ Panjer recursion versus FFT for compound distributions ⋮ A Credit Risk Modelling Approach to Assess Supplier Default Risk ⋮ Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives ⋮ Risk measurement for portfolio credit risk based on a mixed Poisson model ⋮ Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework ⋮ EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS ⋮ Granularity adjustment for risk measures: systematic vs unsystematic risks
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