Antoine Vandendorpe

affiliation not provided to SSRN

SCHOLARLY PAPERS

1

DOWNLOADS

482

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (1)

1.

On the Parameterization of the Creditrisk-Plus Model for Estimating Credit Portfolio Risk

Insurance: Mathematics and Economics, Vol. 42, No. 2, 2008
Number of pages: 24 Posted: 16 Mar 2009
Antoine Vandendorpe, Hien Ngoc Ho, Steven Vanduffel and Paul Van Dooren
affiliation not provided to SSRN, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) and Catholic University of Louvain
Downloads 482 (113,071)
Citation 2

Abstract:

Loading...

Basel II, KMV, Asset Correlations, Default Correlations