On the limit of conditional Spearman's rho under the common factor model (Q262536)
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scientific article; zbMATH DE number 6560971
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the limit of conditional Spearman's rho under the common factor model |
scientific article; zbMATH DE number 6560971 |
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On the limit of conditional Spearman's rho under the common factor model (English)
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30 March 2016
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common factor model
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Spearman's rho
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tail dependence
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portfolio credit risk management
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