Matches in SemOpenAlex for { <https://semopenalex.org/work/W2023890020> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2023890020 endingPage "883" @default.
- W2023890020 startingPage "875" @default.
- W2023890020 abstract "In portfolio credit risk models, correlated credit events are often modelled by means of correlated latent variables. The latent variables are interpreted as the firms’ asset values, and assumed to follow a normal distribution. A procedure is described that uses the information embodied in rating transition matrices to infer the shape of the latent variable distribution. Applying the approach to transition matrices of different origin yields consistent results. Compared to the normal distribution, the implied asset value distributions are fat-tailed, leading to a substantial increase of portfolio credit risk relative to the one under normality. The results are thus highly relevant for the design of credit risk measurement systems." @default.
- W2023890020 created "2016-06-24" @default.
- W2023890020 creator A5024368579 @default.
- W2023890020 date "2004-08-01" @default.
- W2023890020 modified "2023-10-18" @default.
- W2023890020 title "Implied asset value distributions" @default.
- W2023890020 cites W1539851785 @default.
- W2023890020 cites W2004818833 @default.
- W2023890020 cites W2052880518 @default.
- W2023890020 cites W2097104719 @default.
- W2023890020 cites W2105039658 @default.
- W2023890020 cites W2118320330 @default.
- W2023890020 cites W2119057465 @default.
- W2023890020 cites W2121919960 @default.
- W2023890020 cites W2282382832 @default.
- W2023890020 cites W3121275215 @default.
- W2023890020 cites W3123142049 @default.
- W2023890020 cites W3125087107 @default.
- W2023890020 cites W3125744792 @default.
- W2023890020 cites W4245812377 @default.
- W2023890020 doi "https://doi.org/10.1080/09603100410001685312" @default.
- W2023890020 hasPublicationYear "2004" @default.
- W2023890020 type Work @default.
- W2023890020 sameAs 2023890020 @default.
- W2023890020 citedByCount "1" @default.
- W2023890020 crossrefType "journal-article" @default.
- W2023890020 hasAuthorship W2023890020A5024368579 @default.
- W2023890020 hasConcept C105795698 @default.
- W2023890020 hasConcept C106159729 @default.
- W2023890020 hasConcept C110121322 @default.
- W2023890020 hasConcept C134306372 @default.
- W2023890020 hasConcept C149782125 @default.
- W2023890020 hasConcept C162118730 @default.
- W2023890020 hasConcept C162324750 @default.
- W2023890020 hasConcept C178350159 @default.
- W2023890020 hasConcept C182365436 @default.
- W2023890020 hasConcept C2776157432 @default.
- W2023890020 hasConcept C2780821815 @default.
- W2023890020 hasConcept C33923547 @default.
- W2023890020 hasConcept C38652104 @default.
- W2023890020 hasConcept C41008148 @default.
- W2023890020 hasConcept C51167844 @default.
- W2023890020 hasConcept C65965080 @default.
- W2023890020 hasConcept C76178495 @default.
- W2023890020 hasConceptScore W2023890020C105795698 @default.
- W2023890020 hasConceptScore W2023890020C106159729 @default.
- W2023890020 hasConceptScore W2023890020C110121322 @default.
- W2023890020 hasConceptScore W2023890020C134306372 @default.
- W2023890020 hasConceptScore W2023890020C149782125 @default.
- W2023890020 hasConceptScore W2023890020C162118730 @default.
- W2023890020 hasConceptScore W2023890020C162324750 @default.
- W2023890020 hasConceptScore W2023890020C178350159 @default.
- W2023890020 hasConceptScore W2023890020C182365436 @default.
- W2023890020 hasConceptScore W2023890020C2776157432 @default.
- W2023890020 hasConceptScore W2023890020C2780821815 @default.
- W2023890020 hasConceptScore W2023890020C33923547 @default.
- W2023890020 hasConceptScore W2023890020C38652104 @default.
- W2023890020 hasConceptScore W2023890020C41008148 @default.
- W2023890020 hasConceptScore W2023890020C51167844 @default.
- W2023890020 hasConceptScore W2023890020C65965080 @default.
- W2023890020 hasConceptScore W2023890020C76178495 @default.
- W2023890020 hasIssue "12" @default.
- W2023890020 hasLocation W20238900201 @default.
- W2023890020 hasOpenAccess W2023890020 @default.
- W2023890020 hasPrimaryLocation W20238900201 @default.
- W2023890020 hasRelatedWork W1584341211 @default.
- W2023890020 hasRelatedWork W1605443407 @default.
- W2023890020 hasRelatedWork W1725463267 @default.
- W2023890020 hasRelatedWork W2023890020 @default.
- W2023890020 hasRelatedWork W3122667150 @default.
- W2023890020 hasRelatedWork W3122762617 @default.
- W2023890020 hasRelatedWork W3123539695 @default.
- W2023890020 hasRelatedWork W3151043946 @default.
- W2023890020 hasRelatedWork W4200582229 @default.
- W2023890020 hasRelatedWork W4212796292 @default.
- W2023890020 hasVolume "14" @default.
- W2023890020 isParatext "false" @default.
- W2023890020 isRetracted "false" @default.
- W2023890020 magId "2023890020" @default.
- W2023890020 workType "article" @default.