𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

✍ Scribed by Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy

Book ID
121705521
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
361 KB
Volume
11
Category
Article
ISSN
1544-6123

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Modeling dependencies between rating cat
Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
✍ Claudia Czado; Carolin Pflüger 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 354 KB 👁 1 views

## Abstract The internal‐rating‐based Basel II approach increases the need for the development of more realistic default probability models. In this paper, we follow the approach taken in McNeil A and Wendin J 7 (__J. Empirical Finance__ 2007) by constructing generalized linear mixed models for est