Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach
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More about this item
KeywordsCredit risk; Cross-Entropy; Copula models;
All these keywords.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BAN-2014-12-29 (Banking)
- NEP-CMP-2014-12-29 (Computational Economics)
- NEP-ECM-2014-12-29 (Econometrics)
- NEP-RMG-2014-12-29 (Risk Management)
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