Don’t fall from the saddle: The importance of higher moments of credit loss distributions
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References listed on IDEAS
- H. Evangelaras & C. Koukouvinos & A. M. Dean & C. A. Dingus, 2005. "Projection properties of certain three level orthogonal arrays," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 62(2), pages 241-257, November.
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KeywordsCreditRisk+; Saddlepoint approximations; Lugannani-Rice formula; Barndorff-Nielsen formula; Credit VaR;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-20 (All new papers)
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