Confidence sets for asset correlations in portfolio credit risk
Asset correlations are of critical importance in quantifying portfolio credit risk and economic capital in financial institutions. Estimation of asset correlation with rating transition data has focused on the point estimation of the correlation without giving any consideration to the uncertainty ar...
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| 發表在: | Revista de Economía del Rosario |
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| 主要作者: | |
| 格式: | Artigo |
| 語言: | Inglês |
| 出版: |
Universidad del Rosario
2012
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| 主題: | |
| 在線閱讀: | https://www.redalyc.org/articulo.oa?id=509555094002 |
| 標簽: |
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