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...
Gorde:
| Argitaratua izan da: | Revista de Economía del Rosario |
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| Egile nagusia: | |
| Formatua: | Artigo |
| Hizkuntza: | Inglês |
| Argitaratua: |
Universidad del Rosario
2012
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| Gaiak: | |
| Sarrera elektronikoa: | https://www.redalyc.org/articulo.oa?id=509555094002 |
| Etiketak: |
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