What makes dependence modeling challenging? Pitfalls and ways to circumvent them (Q2871285)
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scientific article; zbMATH DE number 6249103
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | What makes dependence modeling challenging? Pitfalls and ways to circumvent them |
scientific article; zbMATH DE number 6249103 |
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What makes dependence modeling challenging? Pitfalls and ways to circumvent them (English)
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22 January 2014
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dependence
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copula
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correlation
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financial modeling
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portfolio credit risk
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Modeling and measuring the dependence between financial risk factors is important in various fields of financial industry and especially in risk management. The authors present a list of challenges related to this topic and show which challenges are structural and can not be overcome, and which challenges allow for a better solution than common practice might suggest. The attention of readers is drawn to common pitfalls and fallacies. The article particulary addresses the researchers who are new to dependence modelling.
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