Showing 1 - 10 of 25
One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...
Persistent link: https://www.econbiz.de/10011890776
Persistent link: https://www.econbiz.de/10011774770
Persistent link: https://www.econbiz.de/10011712411
Persistent link: https://www.econbiz.de/10011671067
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk approach, and as such they formally describe default risk portfolios exposed to an arbitrary number of fatal risk...
Persistent link: https://www.econbiz.de/10013002917
Risk capital allocations (RCAs) are an important tool in quantitative risk management, where they are utilized to, e.g., gauge the profitability of distinct business units, determine the price of a new product, and conduct the marginal economic capital analysis. Nevertheless, the notion of RCA...
Persistent link: https://www.econbiz.de/10013238894
Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the 'right' copula is not an easy task, and the temptation to prefer a tractable rather than a meaningful...
Persistent link: https://www.econbiz.de/10012981920
Persistent link: https://www.econbiz.de/10012623437
Persistent link: https://www.econbiz.de/10012793935
Persistent link: https://www.econbiz.de/10012482842