Search Results - subject:"multivariate Distribution" - EconBiz

Extracting information from structured credit markets

Noss, Joseph - 2010

Structured credit instruments offer an insight into markets' perceptions of the extent of future credit defaults. Claims of different seniorities incur losses only if defaults reach different magnitudes, so their relative value offers an insight into the likelihood of losses being of different...

Persistent link: https://www.econbiz.de/10008747094

Modelling the participation decision and duration of sporting activity in Scotland

Eberth, Barbara; Smith, Murray D. - In: Economic modelling 27 (2010) 4, pp. 822-834

Persistent link: https://www.econbiz.de/10008747685

Local estimation of dynamic copula models

Mendes, Beatriz Vaz de Melo; Melo, Eduardo F. L. de - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 241-258

Persistent link: https://www.econbiz.de/10008860402

Copula-based formulas to estimate unexpected credit losses (the future of Basel accords?)

Moreira, Fernando - In: Financial markets, institutions & instruments 19 (2010) 5, pp. 381-404

Persistent link: https://www.econbiz.de/10008901698

Better confidence intervals for importance sampling

Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1279-1291

Persistent link: https://www.econbiz.de/10008906160

Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

Viebig, Jan; Poddig, Thorsten - In: Journal of risk 13 (2010/11) 2, pp. 23-55

Persistent link: https://www.econbiz.de/10008807871

Applying a factor copula to value basket credit linked notes with issuer default risk

Wu, Po-cheng - In: Finance research letters 7 (2010) 3, pp. 178-183

Persistent link: https://www.econbiz.de/10009272755

Returns of REITS and stock markets : measuring dependence and risk

Rong, Ning; Trück, Stefan - In: Journal of property investment & finance 28 (2010) 1, pp. 34-57

Persistent link: https://www.econbiz.de/10003940630

Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds

Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010

Persistent link: https://www.econbiz.de/10003940928

Solvency II : considering risk dependencies

Nguyen, Tristan; Molinari, Robert Danilo - 2010

Persistent link: https://www.econbiz.de/10003975590

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