Default Correlations and Large-Portfolio Credit Analysis
Author:
Affiliation:
1. Risk Management Institute, Business School and Department of Economics, National University of Singapore, Singapore ()
2. Risk Management Institute, National University of Singapore, Singapore ()
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2015.1087855
Reference43 articles.
1. Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions
2. A Comparative Analysis of Correlation Approaches in Finance
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4. Premia for correlated default risk
5. Regularized estimation of large covariance matrices
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