Saddlepoint approximation of CreditRisk+
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References listed on IDEAS
- Gordy, Michael B., 2000. "A comparative anatomy of credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
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- Sebastian Ebert & Eva Lütkebohmert, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers bgse24_2009, University of Bonn, Germany.
- 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.
- A. Karas & K. Schoors & G. Lanine, 2008.
"Liquidity matters: Evidence from the Russian interbank market,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
08/520, Ghent University, Faculty of Economics and Business Administration.
- Karas, 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.
- Kexue Liu & Jean Salvati & Renzo G Avesani & Alin T Mirestean, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 06/134, International Monetary Fund.
- Glenn D. Pederson & Lyubov Zech, 2009. "Assessing Credit Risk in an Agricultural Loan Portfolio," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 57(2), pages 169-185, June.
- Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
- Mengzhe Zhang & Leunglung Chan, 2016. "Saddlepoint approximations to option price in a regime-switching model," Annals of Finance, Springer, vol. 12(1), pages 55-69, February.
- Grundke, Peter, 2009. "Importance sampling for integrated market and credit portfolio models," European Journal of Operational Research, Elsevier, vol. 194(1), pages 206-226, April.
- Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.
- Stefan Gerhold & Uwe Schmock & Richard Warnung, 2010. "A generalization of Panjer’s recursion and numerically stable risk aggregation," Finance and Stochastics, Springer, vol. 14(1), pages 81-128, January.
- D. Seese & F. Schlottmann, "undated". "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.
- Amogh Deshpande & Srikanth Iyer, 2009. "The credit risk + model with general sector correlations," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 17(2), pages 219-228, June.
- Vandendorpe, Antoine & Ho, Ngoc-Diep & Vanduffel, Steven & Van Dooren, Paul, 2008. "On the parameterization of the CreditRisk + model for estimating credit portfolio risk," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 736-745, April.
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