Confidence sets for asset correlations in portfolio credit risk

Mathematics

• Bayesian 100%
• Credit Risk 100%
• Confidence Set 100%
• Posterior Distribution 50%
• Systemic Risk 50%
• Point Estimation 50%
• Point Estimate 50%
• Unobserved Factor 50%
• Statistical Model 50%
• Factor Dynamic 50%
• State Variable 50%

Keyphrases

• Asset Correlation 100%
• Portfolio Credit Risk 100%
• Confidence Set 100%
• Bayesian Methods 33%
• Statistical Model 16%
• Reinforced 16%
• Posterior Distribution 16%
• Systemic Risk 16%
• Financial Institutions 16%
• Two-factor Model 16%
• Default Risk 16%
• Point Estimate 16%
• Economic Capital 16%
• Rating Data 16%
• Human Judgment 16%
• Transition Data 16%
• Rating Transitions 16%
• Prior Distribution 16%
• Multi-factor Model 16%
• Risk Capital 16%
• Dynamic Factor Model 16%
• Latent State 16%
• Unobserved Factors 16%
• Basel II 16%
• Point Estimation 16%

Economics, Econometrics and Finance

• Credit 100%
• Factor Model 100%
• Bayesian 66%
• Financial Institution 33%
• Point Estimation 33%