Copula choice with factor credit portfolio models
Year of publication: |
2010
|
---|---|
Authors: | Hamerle, Alfred ; Plank, Kilian |
Published in: |
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir. - Heidelberg : Physica-Verl., ISBN 978-3-7908-2412-4. - 2010, p. 321-336
|
Subject: | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Faktorenanalyse | Factor analysis | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Theorie | Theory |
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