Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model
Abstract
Experiences manifest the importance of comovement and communicable characters among the risks of financial assets. Therefore, the portfolio view considering dependence relationship among credit entities is at the heart of risk measurement. This paper introduces a mixed Poisson model assuming default probabilities of obligors depending on a set of common economic factors to construct the dependence structure of obligors. Further, we apply mixed...
Paper Details
Title
Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model
Published Date
Jan 1, 2014
Volume
2014
Pages
1 - 9
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