Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Year of publication: |
2012
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Authors: | Baixauli, J. Samuel ; Alvarez, Susana |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 40.2012, 2, p. 115-129
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Subject: | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution | Kreditrisiko | Credit risk |
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