Conditional copula simulation for systemic risk stress testing
Year of publication: |
2013
|
---|---|
Authors: | Brechmann, Eike C. ; Hendrich, Katharina ; Czado, Claudia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 722-732
|
Subject: | Multivariate copula | Sampling | Vine copula | Systemic risk | Stress testing | CDS spreads | Finanzdienstleistung | Financial services | Multivariate Verteilung | Multivariate distribution | Simulation | Systemrisiko | Finanzkrise | Financial crisis | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Stichprobenerhebung | Risikomanagement | Risk management | Bankrisiko | Bank risk |
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