Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation.

Achal Bassamboo Sandeep Juneja Assaf J. Zeevi

Published in: Oper. Res. (2008)

Keyphrases

asymptotic analysis
credit risk
fluid model
credit risk evaluation
support vector
neural network
decision making
long term
knn
credit scoring
commercial banks
knowledge discovery
evaluation method
risk analysis