Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models
Year of publication: |
2023
|
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Authors: | Huang, Zhenzhen ; Kwok, Yue Kuen ; Xu, Ziqing |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management |
Extent: | 1 Online-Ressource (34 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 18, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4362826 [DOI] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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