Modeling portfolio credit risk taking into account the default correlations using a copula approach: Implementation to an Italian loan portfolio
Year of publication: |
2020
|
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Authors: | Di Clemente, Annalisa |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 13.2020, 6, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | portfolio credit risk | asset correlation | coherent capital allocation | copula function | Monte Carlo simulation | time until default |
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