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Multiple risk factor dependence structures: copulas and related properties - MaRDI portal

Multiple risk factor dependence structures: copulas and related properties (Q2397858)

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Multiple risk factor dependence structures: copulas and related properties
scientific article

    Statements

    title
    Multiple risk factor dependence structures: copulas and related properties (English)
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    author
    Jianxi Su
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    Edward Furman
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    publication date
    24 May 2017
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    zbMATH Keywords
    multivariate distributions
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    (tail) dependence
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    Archimedean copulas
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    Marshall-Olkin copulas
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    factor models
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    default risk
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    cites work
    Q4657105
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    Q3773148
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    Q5226713
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    Q3996150
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    Q4275389
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    Q4778955
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    Q4382161
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    Q5706744
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    Q3060311
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62H05
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    62H10
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    91B30
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    zbMATH DE Number
    6722901
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    OpenAlex ID
    W2529535092
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    arXiv ID
    1610.02126
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