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techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After … international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and … scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial …
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I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean...
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