A one-factor copula-based model for credit portfolios
Year of publication: |
2014
|
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Authors: | Kolman, Marek |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/15, 2, p. 93-132
|
Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Gauß-Prozess | Gaussian process |
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