Multiple risk factor dependence structures : distributional properties
Jianxi Su, Edward Furman
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Su, Jianxi ; Furman, Edward |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 76.2017, p. 56-68
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| Subject: | Multivariate distributions | Dependence | Pareto distributions | Default risk | Factor model | Weighted risk measures | Statistische Verteilung | Statistical distribution | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Faktorenanalyse | Factor analysis | Wahrscheinlichkeitsrechnung | Probability theory | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Einkommensverteilung | Income distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011774770