Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model

Experiences manifest the importance of comovement and communicable characters among the risks of financial assets. Therefore, the portfolio view considering dependence relationship among credit entities is at the heart of risk measurement. This paper introduces a mixed Poisson model assuming default...

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Bibliographic Details
Main Authors: Rongda Chen, Huanhuan Yu
Format: Article
Language:English
Published: Hindawi Limited 2014-01-01
Series:Discrete Dynamics in Nature and Society
Online Access:http://dx.doi.org/10.1155/2014/597814