Saddlepoint approximations for credit portfolios with stochastic recoveries
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References listed on IDEAS
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Cited by:
- 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.
- Herbertsson, Alexander, 2023. "Risk management of stock portfolios with jumps at exogenous default events," Working Papers in Economics 836, University of Gothenburg, Department of Economics.
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More about this item
Keywords
portfolio credit risk; intensity-based models; factor models; Value-at-Risk; conditional independent dependence modelling; saddlepoint-methods; Fourier-transform methods; numerical methods;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2022-09-12 (Risk Management)
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