KISS approach to credit portfolio modeling

Details KISS approach to credit portfolio modeling KISS approach to credit portfolio modeling

2011-07-11

arxiv.org/abs/1107.2164v1

Economy

Quantitative Finance

Risk Management

Scientific paper

A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented here may be of high interest to practitioners looking for transparent, intuitive, easy to implement and high performance credit portfolio model.

Affiliated with

Also associated with

No associations

Rating

KISS approach to credit portfolio modeling does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with KISS approach to credit portfolio modeling, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and KISS approach to credit portfolio modeling will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-564662