Measuring and optimizing portfolio credit risk : a Copula-based approach
Year of publication: |
2004
|
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Authors: | Di Clemente, Annalisa ; Romano, Claudio A. |
Published in: |
Economic notes : economic review of Banca Monte dei Paschi di Siena. - Oxford : Wiley-Blackwell, ISSN 0391-5026, ZDB-ID 194032-6. - Vol. 33.2004, 3, p. 325-357
|
Subject: | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Messung | Measurement | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process |
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