Risk management in credit risk portfolios with correlated assets.
type: Item
instance of: scholarly article
title: Risk management in credit risk portfolios with correlated assets.
zbMATH Open document ID: 1055.91039
DOI: 10.1016/S0167-6687(02)00096-3
author: Nicole Bäuerle
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 2004013
zbMATH Keywords: Structural credit risk model
zbMATH Keywords: Association
zbMATH Keywords: Positive dependence
zbMATH Keywords: Lévy process
MaRDI profile type: Publication
cites work: Inequalities for stochastic models via supermodular orderings
cites work: Modeling and Comparing Dependencies in Multivariate Risk Portfolios
cites work: Q4888858
cites work: Risk-sensitive dynamic asset management
cites work: The pricing of options and corporate liabilities
cites work: Does positive dependence between individual risks increase stop-loss premiums?
cites work: Association of Random Variables, with Applications
cites work: Q3774629
cites work: Q4382161
cites work: Inequalities: theory of majorization and its applications
cites work: Stop-loss order for portfolios of dependent risks
cites work: Some remarks on the supermodular order
cites work: Comparison methods for stochastic models and risks
cites work: Q3996259
cites work: Q4301147
cites work: Stochastic ordering and dependence in applied probability
cites work: Inequalities for distributions with given marginals
cites work: The multivariate normal distribution
full work available at URL: s0167-6687(02)00096-3
OpenAlex ID: W2007250058
description: scientific article; zbMATH DE number 2004013