Small Sample Asymptotics for Credit Risk Portfolios

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BERAN, Jan, Dirk OCKER, 2005. Small Sample Asymptotics for Credit Risk Portfolios. In: Journal of Computational and Graphical Statistics. 14(2), pp. 339-351. ISSN 1061-8600. eISSN 1537-2715. Available under: doi: 10.1198/106186005X48948

@article{Beran2005Small-27575, title={Small Sample Asymptotics for Credit Risk Portfolios}, year={2005}, doi={10.1198/106186005X48948}, number={2}, volume={14}, issn={1061-8600}, journal={Journal of Computational and Graphical Statistics}, pages={339--351}, author={Beran, Jan and Ocker, Dirk} }

Journal of Computational and Graphical Statistics ; 14 (2005), 2. - S. 339-351 deposit-license eng This article considers small sample asymptotics for the distribution of the total loss S<sub>n</sub> of a credit risk portfolio. For portfolios with a few exceptionally high potential loss values, the distribution of S<sub>n</sub> turns out to be bimodal. Direct approximation by Esscher tilting does not capture this feature. An improved recursive algorithm is proposed. The new approach leads to a more accurate small sample approximation that models bimodality in the presence of outliers. The results are illustrated by a simulated example as well as an example of an observed credit risk portfolio. 2005 2014-04-15T11:56:18Z Small Sample Asymptotics for Credit Risk Portfolios 2014-04-15T11:56:18Z Ocker, Dirk Ocker, Dirk Beran, Jan Beran, Jan

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