مرکز منطقه ای اطلاع رساني علوم و فناوري - An analytic approach to credit risk of large corporate bond and loan portfolios

Title of article :

An analytic approach to credit risk of large corporate bond and loan portfolios

Author/Authors :

Andre Lucas، نويسنده , , Pieter Klaassen، نويسنده , , Peter Spreij، نويسنده , , Stefan Straetmans، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

1635

To page :

1664

Keywords :

credit risk , Factor model , skewness , Fat tails , Nonnormal factors , asymptotic analysis

Journal title :

Journal of Banking and Finance

Serial Year :

2001

Journal title :

Journal of Banking and Finance

Record number :

193301

Link To Document :