Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Joint default probability"'
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
Autor:
Giovanna Nappo, Sara Cecchetti
Publikováno v:
SSRN Electronic Journal.
We develop a dynamic multivariate default model for a portfolio of credit-risky assets in which default times are modelled as random variables with possibly different marginal distributions, and L�vy subordinators are used to model the dependenc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d29dbed7669520e2c313ccfac8eafe83
https://doi.org/10.2139/ssrn.2207930
https://doi.org/10.2139/ssrn.2207930
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
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