An efficient portfolio loss model
Year of publication: |
2019
|
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Authors: | Fenger, Christian |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 15.2019, 3, p. 21-39
|
Subject: | portfolio credit risk | correlation | copulas | credit derivatives | credit default swap (CDS) | original research | Theorie | Theory | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Derivat | Derivative | Multivariate Verteilung | Multivariate distribution | Verlust | Loss |
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