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...
Na minha lista:
| Publicado no: | Revista de Economía del Rosario |
|---|---|
| Autor principal: | |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Universidad del Rosario
2012
|
| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=509555094002 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|