Evaluating the default risk of bond portfolios with extreme value theory
Yong Ma, Zhengjun Zhang, Weiguo Zhang, Weidong Xu
| Year of publication: |
April 2015
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| Authors: | Ma, Yong ; Zhang, Zhengjun ; Zhang, Weiguo ; Xu, Weidong |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 45.2015, 4, p. 647-668
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| Subject: | Credit risk | Bond portfolio | Extreme value theory | Hierarchical Gumbel copula | Kreditrisiko | Anleihe | Bond | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-014-9440-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011440981