Mathematics | |
Calibrating the CreditRisk+ Model at Different Time Scales and in Presence of Temporal Autocorrelation |
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Luca Passalacqua1  Jacopo Giacomelli2  | |
[1] Department of Statistics, Sapienza University of Rome, Viale Regina Elena 295, 00161 Rome, Italy;SACE S.p.A., Piazza Poli 42, 00187 Rome, Italy; | |
关键词: CreditRisk+; calibration; time series; default correlation; dependence structure; | |
DOI : 10.3390/math9141679 | |
来源: DOAJ |
【 摘 要 】
The CreditRisk
【 授权许可】
Unknown