Conditional copula simulation for systemic risk stress testing
Eike C. Brechmann; Katharina Hendrich; Claudia Czado
| Year of publication: |
2013
|
|---|---|
| Authors: | Brechmann, Eike C. ; Hendrich, Katharina ; Czado, Claudia |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 722-732
|
| Subject: | Multivariate copula | Sampling | Vine copula | Systemic risk | Stress testing | CDS spreads | Multivariate Verteilung | Multivariate distribution | Systemrisiko | Finanzkrise | Financial crisis | Simulation | Stresstest | Stress test | Kreditrisiko | Credit risk | Kreditderivat | Credit derivative | Risikomanagement | Risk management | Stichprobenerhebung | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227893