FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK
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Publication:5010074
DOI10.1142/S0219024921500217zbMath1475.91383OpenAlexW3169498838MaRDI QIDQ5010074
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Publication date: 24 August 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024921500217
credit derivativescollateralized debt obligationfactor copula modelnormal tempered stable distribution
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)
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