Risk assessment for credit portfolios: A coupled Markov chain model

Journal of Banking and Finance

Volumn 31, Issue 8, 2007, Pages 2303-2323

  Kaniovski, Y M ^a   Pflug, G Ch ^b  

^a FREE UNIVERSITY OF BOLZANO   (Italy)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

C15; Cascade; Collateralized debt obligation (CDO); Correlation coefficient; Coupling; Credit risk; G11; G31; Loss distribution

Indexed keywords

EID: 34447617000     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.02.005     Document Type: Article

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