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Persistent link: https://www.econbiz.de/10014383858
The assessment of portfolio risk is often explicitly (e.g., the square root formula under Basel III) or implicitly (e.g., credit risk portfolio models) driven by the marginal distributions of the risky components and the correlations amongst them. We assess the extent by which such practice is...
Persistent link: https://www.econbiz.de/10013311486