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حسابداری و مالی::
ریسک پرتفوی اعتباری
The Beta distribution has always been influential in modeling credit portfolio risk.
In order to assess credit portfolio risk one needs to model the marginal risks as well as the way they interact.
Asset correlations and credit portfolio risk: an empirical analysis.
On the parameterization of the CreditRisk+ model for estimating credit portfolio risk.
Stress-testing the Impact of Group Dependence on Credit Portfolio Risk, Chapter of the Book "Stress-testing for Financial Institutions - applications, regulations and techniques", Riskbooks, London.
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