Articles by Weiwei Shen
Multi-factor default correlation model estimation: enhancement with bootstrapping
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
You are currently accessing Risk.net via your Enterprise account.
If you already have an account please use the link below to sign in.
If you have any problems with your access or would like to request an individual access account please contact our customer service team.
Phone: 1+44 (0)870 240 8859
You are currently accessing Risk.net via your institutional login.
If you already have an account please use the link below to sign in.
If you have any problems with your access, contact our customer services team.
Phone: +44 20 7316 9685
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.
Sign inTo use this feature you will need an individual account. If you have one already please sign in.
Sign in.Alternatively you can request an individual account here