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Comparison results for exchangeable credit risk portfolios

Author

Listed:
  • Areski Cousin

    (ISFA - Institut de Science Financière et d'Assurances)

  • Jean-Paul Laurent

    (ISFA - Institut de Science Financière et d'Assurances)

Abstract

No abstract is available for this item.

Suggested Citation

  • Areski Cousin & Jean-Paul Laurent, 2008. "Comparison results for exchangeable credit risk portfolios," Post-Print hal-03676451, HAL.
    • Handle: RePEc:hal:journl:hal-03676451
    DOI: 10.1016/j.insmatheco.2008.02.005
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    Cited by:

    1. Margaret Meyer & Bruno Strulovici, 2013. "The Supermodular Stochastic Ordering," Discussion Papers 1563, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    2. Margaret Meyer & Bruno Strulovici, 2013. "Beyond Correlation: Measuring Interdependence Through Complementarities," Economics Series Working Papers 655, University of Oxford, Department of Economics.
    3. Giuseppe Genovese & Ashkan Nikeghbali & Nicola Serra & Gabriele Visentin, 2022. "Universal approximation of credit portfolio losses using Restricted Boltzmann Machines," Papers 2202.11060, arXiv.org, revised Apr 2023.
    4. Areski Cousin & Stéphane Crépey & Yu Kan, 2012. "Delta-hedging correlation risk?," Review of Derivatives Research, Springer, vol. 15(1), pages 25-56, April.
    5. Dorinel Bastide & St'ephane Cr'epey, 2024. "Provisions and Economic Capital for Credit Losses," Papers 2401.07728, arXiv.org, revised Jan 2024.

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