Work

Risk factor contributions in portfolio credit risk models

Year: 2009

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2009.08.002

Authors: Dan Rosen, David Saunders

Institutions: Fields Institute for Research in Mathematical Sciences, University of Waterloo

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Natural Sciences and Engineering Research Council of Canada

OpenAlex ID: W2003555665

FWCI: 7.88

Cites: 36

Cited by: 73

Related to: 10