Analytical value-at-risk with jumps and credit risk.

Darrell Duffie Jun Pan

Published in: Finance Stochastics (2001)

Keyphrases

credit risk
risk analysis
credit risk evaluation
evaluation method
credit scoring
financial data
listed companies
commercial banks
fraud detection
risk assessment
exchange rate
credit card
risk management
evaluation model
risk factors
neural network
cost sensitive
information security
decision making