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Search: subject:"Nonparametric Tail Dependence"
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Basel II
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Copula
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Loss Distribution Approach
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Nonparametric Tail Dependence
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Mittnik, Stefan
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Paterlini, Sandra
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Yener, Tina
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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Operational–risk Dependencies and the Determination of Risk Capital
Mittnik, Stefan
;
Paterlini, Sandra
;
Yener, Tina
-
Dipartimento di Economia "Marco Biagi", Università …
-
2011
fit alternative dependence structures, using parametric copulas and
nonparametric
tail–dependence
coefficients, and …
Persistent link: https://www.econbiz.de/10009283206
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