Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory
Year of publication: |
2015
|
---|---|
Authors: | Ma, Yong ; Zhang, Zhengjun ; Zhang, Weiguo ; Xu, Weidong |
Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 45.2015, 4, p. 647-668
|
Publisher: |
Society for Computational Economics - SCE |
Subject: | Credit risk | Bond portfolio | Extreme value theory | Hierarchical Gumbel copula |
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