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- W2368852458 abstract "Based on the obligors assets' jump-diffusion model,this paper calculates credit portfolio loss distribution by applying saddlepoint approximations,and gives an example to show the process,then gets credit portfolio risk measure VaR and coherent risk measure ES.Through comparing the results from saddlepoint approximations and Monte Carlo simulation,we draw the conclusion that it is a proper method to calculates the coherent risk measure by saddlepoint approximations for highly accurate credit portfolio risk management." @default.
- W2368852458 created "2016-06-24" @default.
- W2368852458 creator A5083604210 @default.
- W2368852458 date "2008-01-01" @default.
- W2368852458 modified "2023-09-26" @default.
- W2368852458 title "Coherent measures of credit portfolio risk under jump-diffusion framework based on saddlepoint approximations" @default.
- W2368852458 hasPublicationYear "2008" @default.
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