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What makes dependence modeling challenging? Pitfalls and ways to circumvent them

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Publication:2871285
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DOI10.1524/strm.2013.2001zbMath1287.91096OpenAlexW2258281750WikidataQ87452676 ScholiaQ87452676MaRDI QIDQ2871285

Matthias Scherer, Jan-Frederik Mai

Publication date: 22 January 2014

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/strm.2013.2001


zbMATH Keywords

copulacorrelationdependenceportfolio credit riskfinancial modeling


Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (4)

Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law ⋮ Multivariate copulas with hairpin support ⋮ Extremal dependence concepts ⋮ Pairwise and Global Dependence in Trivariate Copula Models




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