Credit portfolio risk: Using the grouped t-copula Student-t copula models can be oversimplistic when used to describe credit portfolios. This is a new, generalised model that clusters individual risk factors within various geographical sectors.
| Year of publication: |
2003
|
|---|---|
| Authors: | Daul, Stéphane ; Giorgi, Enrico De ; Lindskog, Filip ; McNeil, Alexander |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 11, p. 73-76
|