Modeling business dependencies for credit portfolios [electronic resource] / Markus Leippold.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Quantitative financial risk management: Publisher: London : Henry Stewart Talks, 2007Description: 1 online resource (1 streaming video file (44 min.) : color, sound)Other title: Modelling business dependencies for credit portfoliosSubject(s): Financial risk managementOnline resources: Click here to access online | Series Animated audio-visual presentations with synchronized narration.
Title from title frames.
Contents: Portfolio credit risk -- Integrating macrostructural and microstructural interdependencies -- Gaussian copula -- Credit portfolio as a graph -- Impact of business dependencies on correlation -- Feedback effects -- Marginal risk contribution.
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Mode of access: World Wide Web.