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Numerically Stable Computation of CreditRisk+ · Study

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ChapterNumerically Stable Computation of CreditRisk+

Hermann Haaf2004

Chapter2004

Numerically Stable Computation of CreditRisk+

Hermann Haaf · Oliver Reiß · John G. M. Schoenmakers

28 citations·0/0 files stored·Springer finance

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Stochastic processes and financial applications Credit Risk and Financial Regulations Probability and Risk Models

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References

2002An Introduction to Credit Risk Modeling 2002An Introduction to Credit Risk Modeling 2002Saddlepoint approximation of CreditRisk+2001Incorporating severity variations into credit risk

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Details

Year2004

Typechapter

Published2004-01-01

VenueSpringer finance

ISSN-L1616-0533

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-662-06427-6_5

openalex_workW85449395

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