Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche
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- Peter Xue‐Kun Song, 2000. "Multivariate Dispersion Models Generated From Gaussian Copula," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(2), pages 305-320, June.
- Katja Pluto & Dirk Tasche, 2006.
"Estimating Probabilities of Default for Low Default Portfolios,"
Springer Books, in: Bernd Engelmann & Robert Rauhmeier (ed.), The Basel II Risk Parameters, chapter 0, pages 79-103,
Springer.
- Katja Pluto & Dirk Tasche, 2004. "Estimating Probabilities of Default for Low Default Portfolios," Papers cond-mat/0411699, arXiv.org, revised Apr 2005.
- Tasche, Dirk, 2013.
"Bayesian estimation of probabilities of default for low default portfolios,"
Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 6(3), pages 302-326, July.
- Dirk Tasche, 2011. "Bayesian estimation of probabilities of default for low default portfolios," Papers 1112.5550, arXiv.org, revised Aug 2013.
- Alexander Shapiro & Jos Berge, 2002. "Statistical inference of minimum rank factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 67(1), pages 79-94, March.
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- Ignas Gasparaviv{c}ius & Andrius Grigutis, 2024. "The Famous American Economist H. Markowitz and Mathematical Overview of his Portfolio Selection Theory," Papers 2402.10253, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-DES-2023-04-17 (Economic Design)
- NEP-RMG-2023-04-17 (Risk Management)
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