Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests
Year of publication: |
September 2016
|
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Authors: | Koliai, Lyes |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 70.2016, p. 1-22
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Subject: | Financial time series | EVT | Pair-copulas | R-vine | Stress testing | Scenario | Theorie | Theory | Finanzkrise | Financial crisis | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Bankrisiko | Bank risk | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model | Stresstest | Stress test | Kreditrisiko | Credit risk |
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