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ArticleSaddlepoint approximation of CreditRisk+

Michael B. Gordy2002

Article2002

Saddlepoint approximation of CreditRisk+

Michael B. Gordy

79 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2000A comparative anatomy of credit risk models 1995Saddlepoint Approximations 1994Insurance Risk Models

Cited by

2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK 2004Tail Approximations for Portfolio Credit Risk 2014Financial Engineering with Copulas Explained 2007On the parameterization of the CreditRisk + model for estimating credit portfolio risk 2008Saddlepoint approximations for affine jump-diffusion models 2008Importance sampling for integrated market and credit portfolio models 2004Numerically Stable Computation of CreditRisk+2007Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model

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2018Granularity Adjustment for Regulatory Capital Assessmentarticle · 2 shared references 2007On the parameterization of the CreditRisk + model for estimating credit portfolio riskarticle · 2 shared references 2007Good and bad credit contagion: Evidence from credit default swaps☆article · 1 shared reference 2001Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literaturearticle · 1 shared reference 2002Ratings migration and the business cycle, with application to credit portfolio stress testingarticle · 1 shared reference 2006Macroeconomic Dynamics and Credit Risk: A Global Perspectivearticle · 1 shared reference

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations79

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0378-4266(02)00266-2

openalex_workW2069753003

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