TY - GEN
AU - Herbertsson, Alexander
TI - Saddlepoint approximations for credit portfolios with stochastic recoveries
PB - Department of Economics, University of Gothenburg
KW - portfolio credit risk
KW - intensity-based models
KW - factor models
KW - Value-at-Risk
KW - conditional independent dependence modelling
KW - saddlepoint-methods
KW - Fourier-transform methods
KW - numerical methods
KW - Graue Literatur
PY - August 2022
BT - Working paper in economics ; no. 823
CY - [Göteborg]
UR - http://slubdd.de/katalog?TN_libero_mab2
ER -
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