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~isPartOf:"BIS working papers"
~isPartOf:"Economic modelling"
~isPartOf:"The journal of financial market infrastructures"
~subject:"Kreditrisiko"
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Search: subject_exact:"Multivariate distribution"
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Kreditrisiko
Multivariate Verteilung
41
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Construction of hypothetical scenarios for central counterparty stress tests using vine copulas
Bhanu, Aniket
;
Virmani, Vineet
- In:
The journal of financial market infrastructures
10
(
2022
)
4
,
pp. 29-53
Persistent link: https://www.econbiz.de/10014538750
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2
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David
;
Cheruvelil, Roy M.
- In:
The journal of financial market infrastructures
8
(
2019
)
1
,
pp. 51-92
Persistent link: https://www.econbiz.de/10012373185
Saved in:
3
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
Saved in:
4
Measuring systemic risk using vine-copula
Pourkhanali, Armin
;
Kim, Jong-Min
;
Tafakori, Laleh
; …
- In:
Economic modelling
53
(
2016
),
pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
Saved in:
5
Loan default correlation using an Archimedean copula approach : a case for recalibration
Fenech, Jean Pierre
;
Vosgha, Hamed
;
Shafik, Salwa
- In:
Economic modelling
47
(
2015
),
pp. 340-354
Persistent link: https://www.econbiz.de/10011439450
Saved in:
6
Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli
;
Liu, Zhen
;
Li, Shenghong
- In:
Economic modelling
40
(
2014
),
pp. 167-174
Persistent link: https://www.econbiz.de/10010425701
Saved in:
7
The pricing of portfolio credit risk
Tarashev, Nikola A.
;
Zhu, Haibin
-
2006
Persistent link: https://www.econbiz.de/10003376553
Saved in:
8
Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader
- In:
Economic modelling
29
(
2012
)
2
,
pp. 119-131
Persistent link: https://www.econbiz.de/10009536052
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