Sensitivity Analysis of a Default Time Model for Credit Risk Portfolio Management

Abella Muñoz, Rebeca; Armero Huertas, Ismael; Ivorra, Benjamín Pierre Paul; Ramos del Olmo, Ángel Manuel

Sensitivity Analysis of a Default Time Model for Credit Risk Portfolio Management

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http://www.mat.ucm.es/deptos/ma/prepublicaciones/2010/2010-16p.pdf

Publication date

2010

Authors

Abella Muñoz, Rebeca

Armero Huertas, Ismael

Ivorra, Benjamín Pierre Paul

Ramos del Olmo, Ángel Manuel

Publisher

Universidad Complutense. Departamento de Matemática Aplicada

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https://hdl.handle.net/20.500.14352/44489

Citation

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