Tail Approximations for Portfolio Credit Risk

By Paul Glasserman. 2004

51 citations recorded by the source corpus.

Subfields: Cardiology and Cardiovascular Medicine, Cognitive Neuroscience, Neurology

View Paper: https://www.semanticscholar.org/paper/66d31eeaee711d2a5445e67495fc700ac7163abc

Citations in the corpus

• CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “Another is to match the (approximate) tail decay rate, as suggested by Glasserman (2003).”
• Measuring Marginal Risk Contributions in Credit Portfolios (2005, unknown): “This property is also important in the approximations of Glasserman [7].”