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Saddlepoint approximation of CreditRisk+
3 references·9 citing·41 second hop
Saddlepoint approximation of CreditRisk+ (2002)Saddlepoint approximation of CreditRisk+A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…Saddlepoint Approximations (1995)Saddlepoint ApproximationsInsurance Risk Models (1994)Insurance Risk ModelsFinancial Engineering with Copulas Explained (2014)Financial Engineering with Co…Supply portfolio risk (2009)Supply portfolio riskSaddlepoint approximations for affine jump-diffusion models (2008)Saddlepoint approximations fo…Importance sampling for integrated market and credit portfolio models (2008)Importance sampling for integ…On the parameterization of the CreditRisk + model for estimating credit portfolio risk (2007)On the parameterization of th…LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (2007)LARGE DEVIATIONS IN MULTIFACT…Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model (2007)Higher-order saddlepoint appr…Tail Approximations for Portfolio Credit Risk (2004)Tail Approximations for Portf…Numerically Stable Computation of CreditRisk+ (2004)Numerically Stable Computatio…An Introduction to Copulas (1999)Asymmetric correlations of equity portfolios (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Prediction of Total Cost of Construction Project with Dependent Cost Items (2016)A Compendium of Copulas (2017)A new approach to measure systemic risk: A bivariate copula model for dependent censored data (2019)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Affine Point Processes: Approximation and Efficient Simulation (2015)Monte Carlo Methods in Financial Engineering (2003)Basel Committee On Banking Supervision (2010)Integrated bank risk modeling: A bottom-up statistical framework (2013)A Study on Operational Risk and Credit Portfolio Risk Estimation Using Data Analytics* (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Modeling Term Structures of Defaultable Bonds (1999)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (2012)Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives (2013)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)On Default Correlation (2000)Saddlepoint approximation method for pricing CDOs (2006)Basket CDS pricing with interacting intensities (2009)Fast Ninomiya–Victoir calibration of the double-mean-reverting model (2013)A comparative analysis of current credit risk models (2000)Extracting Discriminative Features Using Non-negative Matrix Factorization in Financial Distress Data (2009)How Robust is the Value-at-Risk of Credit Risk Portfolios? (2015)MEASURING PORTFOLIO RISK UNDER PARTIAL DEPENDENCE INFORMATION (2016)Incorporating severity variations into credit risk (2001)An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Risk Modeling (2002)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Insurance Risk and Ruin (2005)On a risk model with dependence between interclaim arrivals and claim sizes (2006)Rare Events Simulation for Heavy-Tailed Distributions (2000)Importance Sampling for Portfolio Credit Risk (2005)Probabilistic uncertainty analysis by mean-value first order Saddlepoint Approximation (2007)
this work references cited by second hop

References

  • 2000A comparative anatomy of credit risk models719 cited
  • 1995Saddlepoint Approximations400 cited
  • 1994Insurance Risk Models276 cited

Cited by

  • 2007LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK70 cited
  • 2004Tail Approximations for Portfolio Credit Risk49 cited
  • 2014Financial Engineering with Copulas Explained47 cited
  • 2007On the parameterization of the CreditRisk + model for estimating credit portfolio risk41 cited
  • 2008Saddlepoint approximations for affine jump-diffusion models38 cited
  • 2008Importance sampling for integrated market and credit portfolio models32 cited
  • 2004Numerically Stable Computation of CreditRisk+28 cited
  • 2007Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model26 cited
  • 2009Supply portfolio risk23 cited

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