Calibrating Credit Portfolio Loss Distributions.
Menghui CaoWilliam J. MorokoffPublished in: WSC (2004)
Keyphrases
- probability distribution
- credit scoring
- random variables
- kullback leibler divergence
- power law
- real time
- statistical distributions
- portfolio selection
- database
- fraud detection
- logistic regression
- gaussian model
- graphical models
- neural network
- portfolio optimization
- portfolio management
- market data
- exponential distributions