| Title |
Įsipareigojimų nevykdymo tikimybės asimptotika žemo nemokumo portfeliams, kuriuos veikia sisteminis faktorius / |
| Translation of Title |
Asymptotics of probability of default in low default portfolios under the effect of systemic factor. |
| Authors |
Zikas, Tautvydas |
| Full Text |
|
| Pages |
31 |
| Abstract [eng] |
The purpose of this Master's thesis is to expand on the article published by Pluto and Tasche about the probability of default in low default portfolios. This will be done by expanding the calculations done in the article and also calculating an asymptotic formula for a probability of default in low default portfolio under the effect of systemic factor, but when there is no defaults recorded in the portfolio. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2021 |
