Evaluation of portfolio credit risk based on survival analysis for progressive censored data

2017 ◽  
Author(s):  
Jamil J. Jaber ◽  
Noriszura Ismail ◽  
Siti Norafidah Mohd Ramli
Keyword(s):  
Survival Analysis ◽  
Credit Risk ◽  
Censored Data ◽  
Portfolio Credit Risk

Dependent defaults in models of portfolio credit risk

2003 ◽  
Vol 6 (1) ◽  
pp. 59-92 ◽  
Author(s):  
Rüdiger Frey ◽  
Alexander McNeil
Keyword(s):  
Credit Risk ◽  
Portfolio Credit Risk

scholarly journals Dynamic Modeling of Portfolio Credit Risk with Common Shocks

2011 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Areski Cousin ◽  
Stéphane Crépey ◽  
Alexander Herbertsson
Keyword(s):  
Credit Risk ◽  
Dynamic Modeling ◽  
Portfolio Credit Risk ◽  
Common Shocks
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