Works (2)
Updated: July 5th, 2023 15:50
2011 journal article
A simple novel approach to valuing risky zero coupon bond in a markov regime switching economy
Methodology and Computing in Applied Probability, 13(4), 783–800.
Source: NC State University Libraries
Added: August 6, 2018
2009 journal article
The credit risk(+) model with general sector correlations
CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH, 17(2), 219–228.
author keywords: Credit risk(+); Compound gamma distribution; Value at risk; Risk contribution; Correlation; Portfolio loss distribution; Moment generating function
TL;DR:
This work considers an enhancement of the credit risk+ model to incorporate correlations between sectors to derive the formula for exact VaR contributions at the obligor level.
(via Semantic Scholar)
UN Sustainable Development Goal Categories
8. Decent Work and Economic Growth
(Web of Science)
Source: Web Of Science
Added: August 6, 2018
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