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"Asymptotic behaviour of multivariate default probabilities and default ..."

Natalie Packham, Michael Kalkbrener, Ludger Overbeck (2016)

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DOI: 10.1017/JPR.2015.9

access: closed

type: Journal Article

metadata version: 2023-09-30

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Natalie Packham, Michael Kalkbrener, Ludger Overbeck:
Asymptotic behaviour of multivariate default probabilities and default correlations under stress. J. Appl. Probab. 53(1): 71-81 (2016)

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