Integrated risk modelling
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Publication:4675954
DOI10.1191/1471082X04st079oazbMath1098.91071OpenAlexW2031491005MaRDI QIDQ4675954
Publication date: 6 May 2005
Published in: Statistical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1191/1471082x04st079oa
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Measuring the coupled risks: A copula-based CVaR model ⋮ Bounds on total economic capital: the DNB case study ⋮ Importance sampling for integrated market and credit portfolio models ⋮ Statistical rehabilitation of improper correlation matrices ⋮ Risk measurement for portfolio credit risk based on a mixed Poisson model ⋮ Top-down approaches for integrated risk management: how accurate are they? ⋮ Statistical Corrections of Invalid Correlation Matrices ⋮ Integrated bank risk modeling: a bottom-up statistical framework
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