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Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation - MaRDI portal

Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648)

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scientific article; zbMATH DE number 7054998
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English
Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
scientific article; zbMATH DE number 7054998

    Statements

    title
    Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (English)
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    author
    Zhongyi Yuan
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    Qi-he Tang
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    publication date
    15 May 2019
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    zbMATH Keywords
    loss given default
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    multivariate models
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    asymptotic estimates
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    Archimedean copulas
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    describes a project that uses
    QRM
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    copula
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    copula
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    cites work
    Q4726487
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    Q5480304
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    The Iterated Cte
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    Q5706744
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    Q3771297
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    Heavy-Tail Phenomena
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    Asymptotic Statistics
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    Identifiers

    zbMATH DE Number
    7054998
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    OpenAlex ID
    W2119172906
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