Add to ORKGCredit granting institutions deal with large portfolios of assets. These assets represent credit granted to obligors as well as investments in securities. A common size for such a portfolio lies from anywhere between 400 to 10,000 instruments. The essential goal of the credit institution is to minimize their losses due to default. B
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps) ...
We consider a structural credit model for a large portfolio of credit risky assets where the correla...
We derive approximate formulae for the credit value-at-risk and the economic capital of a large cred...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
A single factor migration-style credit risk model is extended to measure the market risks of the non...
The credit default simulator is based on a simplified version credit risk methodology, extended to m...
We derive an analytic approximation to the credit loss distribution of large portfolios by letting t...
The management of credit risky assets requires simulation models that integrate the disparate source...
We derive an analytic approximation to the credit loss distribution of large portfolios by letting t...
Credit risk is the risk of losing contractually obligated cash flows promised by a counterparty such...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
One of the main goals of financial institutions is to minimize risk because it is directly related t...
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate ...
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps)...
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps) ...
We consider a structural credit model for a large portfolio of credit risky assets where the correla...
We derive approximate formulae for the credit value-at-risk and the economic capital of a large cred...
Credit granting institutions deal with large portfolios of assets. These assets represent credit gra...
A single factor migration-style credit risk model is extended to measure the market risks of the non...
The credit default simulator is based on a simplified version credit risk methodology, extended to m...
We derive an analytic approximation to the credit loss distribution of large portfolios by letting t...
The management of credit risky assets requires simulation models that integrate the disparate source...
We derive an analytic approximation to the credit loss distribution of large portfolios by letting t...
Credit risk is the risk of losing contractually obligated cash flows promised by a counterparty such...
In Section 10.3 we defined the loss variables as indicators of default events. A very common approac...
This thesis studies the estimation of credit exposure arising from a portfolio of interest rate deri...
One of the main goals of financial institutions is to minimize risk because it is directly related t...
Monte Carlo simulation is widely used to measure the credit risk in portfolios of loans, corporate ...
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps)...
A model for the credit risk of a portfolio of market driven financial contracts (for example swaps) ...
We consider a structural credit model for a large portfolio of credit risky assets where the correla...
We derive approximate formulae for the credit value-at-risk and the economic capital of a large cred...