A new approach to measure systemic risk : a bivariate copula model for dependent censored data
Raffaella Calabrese, Silvia Angela Osmetti
| Year of publication: |
2019
|
|---|---|
| Authors: | Calabrese, Raffaella ; Osmetti, Silvia Angela |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 279.2019, 3 (16.12.), p. 1053-1064
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| Subject: | OR in banking | Copula models | Pseudo-maximum likelihood estimation | Censored sampling | Systemic risk | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Stichprobenerhebung | Sampling | Schätzung | Estimation | Messung | Measurement | Finanzmarkt | Financial market | Finanzkrise | Financial crisis |