A limit distribution of credit portfolio losses with low default probabilities
Year of publication: |
March 2017
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Authors: | Shi, Xiaojun ; Tang, Qihe ; Yuan, Zhongyi |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 73.2017, p. 156-167
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Subject: | Credit portfolio loss | Extreme risk | Limit distribution | Loss given default | Model risk | Multivariate regular variation | Tail dependence | Theorie | Theory | Statistische Verteilung | Statistical distribution | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Insolvenz | Insolvency | Verlust | Loss | Risiko | Risk |
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