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  • Search: subject:"Factor copula models"
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Year of publication
Subject
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Multivariate Verteilung 3 Multivariate distribution 3 Theorie 3 Theory 3 Credit risk 2 Kreditrisiko 2 Portfolio selection 2 Portfolio-Management 2 Risikomanagement 2 Risk management 2 factor copula models 2 Analysis of variance 1 Basel Accord 1 Basler Akkord 1 Bayes-Statistik 1 Bayesian inference 1 Computational Methods 1 Correlation 1 Credit Derivatives 1 Estimation 1 Factor Copula Models 1 Factor analysis 1 Factor copula models 1 Faktorenanalyse 1 First Hitting Time Model 1 GAS model 1 Importance sampling 1 Induktive Statistik 1 Korrelation 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Portfolio credit risk 1 Risikomaß 1 Risk measure 1 Sampling 1 Schätzung 1 Simulation 1 Statistical distribution 1 Statistical inference 1 Statistische Verteilung 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Thesis 1
Language
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English 4
Author
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Ausín, M. Concepción 1 Chiu, Yu-Fen 1 Dias, Fabio S. 1 Galeano, Pedro 1 Hsieh, Ming-Hua 1 Jackson, Ken 1 Kreinin, Alex 1 Lee, Yi-Hsi 1 Nguyen, Hoang 1 Shyu, So-De 1 Zhang, Wanhe 1
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Institution
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Computer Science 1
Published in...
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International journal of financial engineering and risk management 1 Journal of financial econometrics 1 Pacific-Basin finance journal 1
Source
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ECONIS (ZBW) 3 BASE 1
Showing 1 - 4 of 4
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An equity-credit hybrid model for asset correlations
Dias, Fabio S. - In: International journal of financial engineering and risk … 3 (2020) 3, pp. 223-239
Persistent link: https://www.econbiz.de/10012253510
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Estimating multifactor portfolio credit risk : a variance reduction approach
Hsieh, Ming-Hua; Lee, Yi-Hsi; Shyu, So-De; Chiu, Yu-Fen - In: Pacific-Basin finance journal 57 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012170623
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Parallel Bayesian inference for high-dimensional dynamic factor copulas
Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151
Persistent link: https://www.econbiz.de/10012054431
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On Computational Methods for the Valuation of Credit Derivatives
Zhang, Wanhe - 2010
forward-starting BDS.Current factor copula models are static and fail to calibrate consistently against market quotes. To …-period factor copula models. This allows the default correlations to be time-dependent, thereby allowing the model to fit market … quotes consistently. Previously developed multi-period factor copula models require multi-dimensional integration, usually …
Persistent link: https://www.econbiz.de/10009455259
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