A Factor Model for the Calculation of Portfolio Credit VaR

机译：投资组合信用VaR计算的因子模型

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Li Ping; Wang Xiaoxu; Wang Haibo;
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年度 2013
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1. A Factor Model for the Calculation of Portfolio Credit VaR [J] . Ping Li, Xiaoxu Wang, Haibo Wang Procedia Computer Science . 2013,第1期

机译：投资组合信用VaR计算的因子模型
2. Macro-Economic Factors in Credit Risk Calculations: Including Time-Varying Covariates in Mixture Cure Models [J] . Dirick Lore, Bellotti Tony, Claeskens Gerda, Journal of business & economic statistics . 2019,第1期

机译：信用风险计算中的宏观经济因素：包括混合固化模型中随时间变化的协变量
3. Quantifying credit portfolio losses under multi-factor models [J] . International journal of computer mathematics . 2019,第9a12期

机译：在多因素模型下量化信贷组合损失
4. A Factor Model for the Calculation of Portfolio Credit VaR [C] . Ping Li, Xiaoxu Wang, Haibo Wang Conference on Information Technology and Quantitative Management . 2013

机译：投资组合信用var计算的因子模型
5. Bayesian portfolio optimization with time-varying factor models. [D] . Zhao, Feng. 2011

机译：使用时变因子模型进行贝叶斯资产组合优化。
6. Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization [O] . Daniel Bartz, Kerr Hatrick, Christian W. Hesse, -1

机译：方向方差调整：基于因子分析的协方差矩阵偏差减少及其在证券投资组合优化中的应用
7. Avaliação da aplicabilidade de um modelo de credit scoring com varíaveis sistêmicas e não-sistêmicas em carteiras de crédito bancário rotativo de pessoas físicas An evaluation on the applicability of a credit scoring model, with systemic and non-systemic variables in revolving bank credit portfolio for individuals [O] . José Odálio dos Santos, Rubens Famá 2007

机译：评估具有系统性和非系统性变量的信用评分模型在个人循环银行信贷组合中的适用性。
8. Generalized Single Common Factor Model of Portfolio Credit Risk: FDIC Center for Financial Research Working Paper, No. 2007-06 [R] . Kupiec, P. H. 2007

机译：投资组合信用风险的广义单一共同因子模型：FDIC金融研究中心工作文件，编号2007-06

A Factor Model for the Calculation of Portfolio Credit VaR

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