An equity-credit hybrid model for asset correlations
Year of publication: |
2020
|
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Authors: | Dias, Fabio S. |
Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0917, ZDB-ID 3004202-1. - Vol. 3.2020, 3, p. 223-239
|
Subject: | asset correlations | credit risk management | structural credit model | factor copula models | Theorie | Theory | Kreditrisiko | Credit risk | Korrelation | Correlation | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Basler Akkord | Basel Accord |
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