Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius, Nagl, Maximilian
, Fischer, Matthias and Rösch, Daniel
(2020)
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model.
Journal of Risk 22, pp. 1-30.
Date of publication of this fulltext: 01 Mar 2021 10:14
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| Item type | Article | ||||
| Journal or Publication Title | Journal of Risk | ||||
| Publisher: | Incisive Media | ||||
|---|---|---|---|---|---|
| Volume: | 22 | ||||
| Page Range: | pp. 1-30 | ||||
| Date | April 2020 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Interdisciplinary Subject Network | Not selected | ||||
| Research groups and research centres | Center of Finance | ||||
| Identification Number |
| ||||
| Dewey Decimal Classification | 300 Social sciences > 310 General statistics 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | Yes | ||||
| Item ID | 45044 |
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