Risk factor contributions in portfolio credit risk models

Journal of Banking and Finance

Volumn 34, Issue 2, 2010, Pages 336-349

  Rosen, Dan ^a   Saunders, David ^b  

^a FIELDS INSTITUTE   (Canada)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Hoeffding decomposition; Portfolio credit risk; Risk contributions; Risk measures

Indexed keywords

EID: 70449127085     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.08.002     Document Type: Article

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