Work

Saddlepoint approximation of CreditRisk+

Year: 2002

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/s0378-4266(02)00266-2

Author: Michael B. Gordy

Institution: Federal Reserve Board of Governors

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2069753003

FWCI: 4.38

Cites: 8

Cited by: 79

Related to: 10