Large deviations in multifactor portfolio credit risk

Mathematical Finance

Volumn 17, Issue 3, 2007, Pages 345-379

  Glasserman, Paul ^a   Kang, Wanmo ^b   Shahabuddin, Perwez ^c  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b Korea Advanced Institute of Science and Technology (KAIST)   (South Korea)

^c Korea Advanced Institute of Science and Technology ^*  (United States)

Author keywords

Gaussian copula; Large deviations; Multifactor model; Portfolio credit risk

Indexed keywords

EID: 34547307170     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00307.x     Document Type: Article

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