Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula
Yongwoong Lee, Kisung Yang
| Year of publication: |
2019
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|---|---|
| Authors: | Lee, Yong Woong ; Yang, Kisung |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 66.2019, p. 1-14
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| Subject: | Copula | Diversification | Loss distribution | Multi-factor model | Spillover | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Spillover-Effekt | Spillover effect | Theorie | Theory | Diversifikation | Kreditrisiko | Credit risk | Verlust | Loss | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101374 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012208950