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Saddlepoint approximation of CreditRisk+

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Author Info
Gordy, Michael B.
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1335-1353
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1335-1353

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  1. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  2. D. Seese & F. Schlottmann, . "The building blocks of complexity: a unified criterion and selected applications in risk management," Modeling, Computing, and Mastering Complexity 2003 14, Society for Computational Economics. [Downloadable!]
  3. Kares, Alexei & Schoors , Koen & Lanine, Gleb, 2008. "Liquidity matters: Evidence from the Russian interbank market," BOFIT Discussion Papers 19/2008, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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  4. Renzo G. Avesani & Kexue Liu & Alin Mirestean & Jean Salvati, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 06/134, International Monetary Fund. [Downloadable!]
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This page was last updated on 2009-12-3.

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