Zobrazeno 1 - 10
of 430
pro vyhledávání: '"Joint default probability"'
Autor:
Chuan-Hsiang Han
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783642274398
This paper aims to estimate joint default probabilities under the structural-form model with a random environment; namely stochastic correlation. By means of a singular perturbation method, we obtain an asymptotic expansion of a two-name joint defaul
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecd424a49dcf02693a31a61e4f8500b4
https://doi.org/10.1007/978-3-642-27440-4_22
https://doi.org/10.1007/978-3-642-27440-4_22
Autor:
Chuan-Hsiang Han
Publikováno v:
Stochastic Analysis with Financial Applications ISBN: 9783034800969
Motivated from credit risk modeling, this paper extends the twodimensional first passage time problem studied by Zhou (2001) to any finite dimension by means of Monte Carlo simulation. We provide an importance sampling method to estimate the joint de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d240234a9b5b11c99f43a644f4bb953c
https://doi.org/10.1007/978-3-0348-0097-6_20
https://doi.org/10.1007/978-3-0348-0097-6_20
Conference
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Autor:
Kim, Sunggon1 (AUTHOR) sgkim@uos.ac.kr, Yu, Jisu2 (AUTHOR)
Publikováno v:
Annals of Operations Research. Mar2023, Vol. 322 Issue 2, p819-849. 31p.
Autor:
Ferreira, Márcio Marques
Publikováno v:
Repositório Institucional do FGV (FGV Repositório Digital)
Fundação Getulio Vargas (FGV)
instacron:FGV
Fundação Getulio Vargas (FGV)
instacron:FGV
O risco de crédito é o risco associado a uma perda econômica decorrente de uma contraparte não cumprir com suas obrigações contratuais. O evento de não honrar com uma obrigação contratual de pagamento é denominado default na literatura inte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3056::a634d67518c406524154ba064f70308e
Autor:
Dirk Tasche
Publikováno v:
Journal of Risk and Financial Management; Volume 9; Issue 1; Pages: 1
Journal of Risk and Financial Management, Vol 9, Iss 1, p 1 (2015)
Journal of Risk and Financial Management, Vol 9, Iss 1, p 1 (2015)
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditiona
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5bc4dc80745237c2dfbeb6f460464ab2
https://hdl.handle.net/10419/178568
https://hdl.handle.net/10419/178568
Autor:
Rosella Giacometti, Riccardo Pianeti
The ongoing EU sovereign debt crisis is causing great concern about the sustainability of national debt issued by the member states. In this paper, we propose a methodology to estimate the likelihood of the default of one or more countries in the Eur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a1ea9387e21b59cdef327bd7f1b5dc15
http://hdl.handle.net/10446/31157
http://hdl.handle.net/10446/31157
Systemic default risk—that is, the risk of the simultaneous default of multiple institutions—has caused great concern in the recent past. The aim of this article is to estimate the joint probability of default for multiple financial institutions.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08759041b005ff79b75cde2e837bbd53
http://hdl.handle.net/10446/27669
http://hdl.handle.net/10446/27669
Autor:
LI, WEIPING1,2, KREHBIEL, TIM3
Publikováno v:
International Journal of Theoretical & Applied Finance. Aug2016, Vol. 19 Issue 5, p-1. 29p.