FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2043131475> ?p ?o ?g. }

• W2043131475 abstract "Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian inference reveals that - for realistic assumptions about the portfolio's credit quality and the data underlying parameter estimates - this uncertainty substantially increases the tail risk perceived by the investor. Since incorporating parameter uncertainty in a measure of tail risk is computationally demanding, the paper also derives and analyzes a closed-form approximation to such a measure." @default.
• W2043131475 created "2016-06-24" @default.
• W2043131475 creator A5004596892 @default.
• W2043131475 date "2009-01-01" @default.
• W2043131475 modified "2023-09-25" @default.
• W2043131475 title "Measuring Portfolio Credit Risk Correctly: Why Parameter Uncertainty Matters" @default.
• W2043131475 cites W1507144867 @default.
• W2043131475 cites W1516220963 @default.
• W2043131475 cites W1542184596 @default.
• W2043131475 cites W1997709577 @default.
• W2043131475 cites W2037584723 @default.
• W2043131475 cites W2052880518 @default.
• W2043131475 cites W2056099894 @default.
• W2043131475 cites W2098734551 @default.
• W2043131475 cites W2102439862 @default.
• W2043131475 cites W2105973145 @default.
• W2043131475 cites W2114109926 @default.
• W2043131475 cites W2114442313 @default.
• W2043131475 cites W2147854126 @default.
• W2043131475 cites W2163504005 @default.
• W2043131475 cites W3123176496 @default.
• W2043131475 cites W3125041188 @default.
• W2043131475 cites W3125577831 @default.
• W2043131475 doi "https://doi.org/10.2139/ssrn.1444372" @default.
• W2043131475 hasPublicationYear "2009" @default.
• W2043131475 type Work @default.
• W2043131475 sameAs 2043131475 @default.
• W2043131475 citedByCount "3" @default.
• W2043131475 countsByYear W20431314752012 @default.
• W2043131475 countsByYear W20431314752015 @default.
• W2043131475 crossrefType "journal-article" @default.
• W2043131475 hasAuthorship W2043131475A5004596892 @default.
• W2043131475 hasConcept C10138342 @default.
• W2043131475 hasConcept C105795698 @default.
• W2043131475 hasConcept C106159729 @default.
• W2043131475 hasConcept C107673813 @default.
• W2043131475 hasConcept C124101348 @default.
• W2043131475 hasConcept C149782125 @default.
• W2043131475 hasConcept C154945302 @default.
• W2043131475 hasConcept C160234255 @default.
• W2043131475 hasConcept C162118730 @default.
• W2043131475 hasConcept C162324750 @default.
• W2043131475 hasConcept C178350159 @default.
• W2043131475 hasConcept C202655437 @default.
• W2043131475 hasConcept C2776214188 @default.
• W2043131475 hasConcept C2780009758 @default.
• W2043131475 hasConcept C2780821815 @default.
• W2043131475 hasConcept C2781472820 @default.
• W2043131475 hasConcept C32896092 @default.
• W2043131475 hasConcept C33923547 @default.
• W2043131475 hasConcept C38652104 @default.
• W2043131475 hasConcept C41008148 @default.
• W2043131475 hasConcept C69257216 @default.
• W2043131475 hasConcept C76178495 @default.
• W2043131475 hasConceptScore W2043131475C10138342 @default.
• W2043131475 hasConceptScore W2043131475C105795698 @default.
• W2043131475 hasConceptScore W2043131475C106159729 @default.
• W2043131475 hasConceptScore W2043131475C107673813 @default.
• W2043131475 hasConceptScore W2043131475C124101348 @default.
• W2043131475 hasConceptScore W2043131475C149782125 @default.
• W2043131475 hasConceptScore W2043131475C154945302 @default.
• W2043131475 hasConceptScore W2043131475C160234255 @default.
• W2043131475 hasConceptScore W2043131475C162118730 @default.
• W2043131475 hasConceptScore W2043131475C162324750 @default.
• W2043131475 hasConceptScore W2043131475C178350159 @default.
• W2043131475 hasConceptScore W2043131475C202655437 @default.
• W2043131475 hasConceptScore W2043131475C2776214188 @default.
• W2043131475 hasConceptScore W2043131475C2780009758 @default.
• W2043131475 hasConceptScore W2043131475C2780821815 @default.
• W2043131475 hasConceptScore W2043131475C2781472820 @default.
• W2043131475 hasConceptScore W2043131475C32896092 @default.
• W2043131475 hasConceptScore W2043131475C33923547 @default.
• W2043131475 hasConceptScore W2043131475C38652104 @default.
• W2043131475 hasConceptScore W2043131475C41008148 @default.
• W2043131475 hasConceptScore W2043131475C69257216 @default.
• W2043131475 hasConceptScore W2043131475C76178495 @default.
• W2043131475 hasLocation W20431314751 @default.
• W2043131475 hasOpenAccess W2043131475 @default.
• W2043131475 hasPrimaryLocation W20431314751 @default.
• W2043131475 hasRelatedWork W1493832363 @default.
• W2043131475 hasRelatedWork W1540827249 @default.
• W2043131475 hasRelatedWork W1542999872 @default.
• W2043131475 hasRelatedWork W16478732 @default.
• W2043131475 hasRelatedWork W1941828766 @default.
• W2043131475 hasRelatedWork W2032831625 @default.
• W2043131475 hasRelatedWork W2037584723 @default.
• W2043131475 hasRelatedWork W2094986934 @default.
• W2043131475 hasRelatedWork W2113189416 @default.
• W2043131475 hasRelatedWork W2168574366 @default.
• W2043131475 hasRelatedWork W2256971254 @default.
• W2043131475 hasRelatedWork W2265239943 @default.
• W2043131475 hasRelatedWork W2338541084 @default.
• W2043131475 hasRelatedWork W2467867148 @default.
• W2043131475 hasRelatedWork W2473982624 @default.
• W2043131475 hasRelatedWork W2567828096 @default.
• W2043131475 hasRelatedWork W2594709832 @default.
• W2043131475 hasRelatedWork W3123890447 @default.
• W2043131475 hasRelatedWork W3125849334 @default.
• W2043131475 hasRelatedWork W3147082847 @default.
• W2043131475 isParatext "false" @default.

• next