An assessment of copula functions approach in conjunction with factor model in portfolio credit risk management
Lie-Jane Kao, Po-Cheng Wu, and Cheng Few Lee
| Year of publication: |
2024
|
|---|---|
| Authors: | Kao, Lie-Jane ; Wu, Po-Cheng ; Lee, Cheng F. |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 1. - New Jersey : World Scientific, ISBN 978-981-12-6322-4. - 2024, p. 573-591
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| Subject: | Static factor model | Dynamic factor model | Correlated defaults | Copula function | Contagious effect | Hawkes process | Monte Carlo simulation | Kreditrisiko | Credit risk | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Monte-Carlo-Simulation | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015045615