Carmen Ribas

University of Barcelona - Department of Actuarial, Financial and Economic Mathematics

Avda. Diagonal 690

Barcelona, 08034

Spain

  • University of Barcelona - Department of Actuarial, Financial and Economic Mathematics

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Stress-Testing the Impact of Group Dependence on Credit Portfolio Risk

STRESS-TESTING FOR FINANCIAL INSTITUTIONS, Harald Scheule, Daniel Rösch, eds., Incisive Media, 2009
Number of pages: 19 Posted: 15 Mar 2009
Steven Vanduffel, Bostjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN, BNP Paribas and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
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Abstract:

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Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion