Modelling credit card exposure at default using vine copula quantile regression
Suttisak Wattanawongwan, Christophe Mues, Ramin Okhrati, Taufiq Choudhry, Mee Chi So
| Year of publication: |
2023
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|---|---|
| Authors: | Wattanawongwan, Suttisak ; Mues, Christophe ; Okhrati, Ramin ; Choudhry, Taufiq ; So, Mee Chi |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 311.2023, 1 (16.11.), p. 387-399
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| Subject: | Risk analysis | Credit cards | Exposure at default | Quantile regression | Vine copulas | Multivariate Verteilung | Multivariate distribution | Kreditkarte | Credit card | Regressionsanalyse | Regression analysis | Kreditrisiko | Credit risk | Insolvenz | Insolvency | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.05.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014336533