Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula
Year of publication: |
2019
|
---|---|
Authors: | Lee, Yong Woong ; Yang, Kisung |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 66.2019, p. 1-14
|
Subject: | Copula | Diversification | Loss distribution | Multi-factor model | Spillover | Theorie | Theory | Spillover-Effekt | Spillover effect | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Diversifikation | Kreditrisiko | Credit risk | Verlust | Loss | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
-
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B., (2016)
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
-
Maciag, Jakob, (2017)
- More ...
-
Optimal look-back period for adequate and less procyclical credit capital forecasts
Lee, Yong Woong, (2021)
-
Sovereign risk contagion in East Asia : a mixture of time-varying copulas approach
Lee, Yong Woong, (2018)
-
Financial connectedness revisited : the role of Fama-French risk factors
Yang, Kisung, (2019)
- More ...