COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS
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Publication:5450695
DOI10.1017/S0269964808000090zbMath1132.91487OpenAlexW2135560335MaRDI QIDQ5450695
Esther Frostig, Michel M. Denuit
Publication date: 13 March 2008
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964808000090
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Stochastic comparisons of multivariate mixtures ⋮ On finite exchangeable sequences and their dependence ⋮ Exchangeable FGM copulas ⋮ Comparison results for exchangeable credit risk portfolios ⋮ On General Multivariate Mixture Models ⋮ Asset proportions in optimal portfolios with dependent default risks ⋮ Stochastic comparison of multivariate conditionally dependent mixtures ⋮ Dependence in failure times due to environmental factors ⋮ First passage time for multivariate jump-diffusion processes in finance and other areas of applications ⋮ Stochastic comparisons of multivariate mixture models
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