The credit risk model with general sector correlations
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TextPublication details: Bangalore: Department of Mathematics, Indian Institute of Science: 2006Description: We consider an enhancement of the Credit Risk+ model to incorporate correlations between sectors. This is a generalization of the compound gamma model proposed by Giese (2003) where correlations between the sector default rates are assumed to arise from aISBN: - NULL
| Item type | Current library | Home library | Collection | Call number | Status | Barcode | |
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MATH-LiB General Stack | MATH-LiB | NFIC | MathPP14 (Browse shelf(Opens below)) | Not for loan | MathPP14 |
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