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A flexible way to incorporate heterogeneous tail-dependency into dependency modeling based on a recently proposed modification of the t-copula is presented and applied to a realistic credit portfolio. The heterogeneous t-copula is assumed for the underlying multivariate factor model and it is...
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In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations. We derive this representation from a classical differentiability result for backward stochastic differential...
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