University of Muenster - Finance Center Muenster
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3096040.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Copula, Nested Copula, Sector-Type Credit Portfolio Models, Credit Risk, Stochastic Loss Given Default (LGD)
File name: SSRN-id2924384.pdf
portfolio credit risk model; asymptotic single risk factor (ASRF) model; downturn loss; given default (LGD); downturn exposure at default (EAD); correlation structure
This page was processed by aws-apollo1 in 0.093 seconds