Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models
Year of publication: |
2023
|
---|---|
Authors: | Huang, Zhenzhen ; Kwok, Yue Kuen ; XU, Ziqing |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Messung | Measurement | Risiko | Risk | Risikomanagement | Risk management |
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