The loss given default of a low-default portfolio with weak contagion
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DOI: 10.1016/j.insmatheco.2015.10.005
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Citations
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Cited by:
- Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi, 2017. "A limit distribution of credit portfolio losses with low default probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 156-167.
- Huang, Zhenzhen & Kwok, Yue Kuen & Xu, Ziqing, 2024. "Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 132-150.
- Kiatsupaibul, Seksan & Hayter, Anthony J. & Somsong, Sarunya, 2017. "Confidence sets and confidence bands for a beta distribution with applications to credit risk management," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 98-104.
- Liu, Jing, 2018. "LLN-type approximations for large portfolio losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 71-77.
- Cantia, Catalin & Tunaru, Radu, 2017. "A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 21-35.
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More about this item
Keywords
Asymptotic analysis; Asymptotic (in)dependence; Credit contagion; Default probability; Loss given default; Low-default portfolio; Risk measure; Sarmanov distribution;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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