Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
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Year
: 2014DOI: 10.1007/s00180-013-0453-2
Keyword(s): Asset correlation,Bayesian confidence intervals,MCMC,Portfolio credit risk,Probability of default,Serial dependence
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Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk
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| contributor author | Chang, Y. - Yu, C. | |
| date accessioned | 2020-03-11T15:43:27Z | |
| date available | 2020-03-11T15:43:27Z | |
| date issued | 2014 | |
| identifier issn | 0943-4062. | |
| identifier uri | http://libsearch.um.ac.ir:80/fum/handle/fum/582803?locale-attribute=en | |
| format | general | |
| language | English | |
| publisher | Springer-Verlag | |
| title | Bayesian confidence intervals for probability of default and asset correlation of portfolio credit risk | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 4443095 | |
| subject keywords | Asset correlation | |
| subject keywords | Bayesian confidence intervals | |
| subject keywords | MCMC | |
| subject keywords | Portfolio credit risk | |
| subject keywords | Probability of default | |
| subject keywords | Serial dependence | |
| identifier doi | 10.1007/s00180-013-0453-2 | |
| journal title | Computational Statistics | |
| journal volume | 29 | |
| journal issue | 1 | |
| filesize | 955564 | |
| citations | 0 |