Conditional copula simulation for systemic risk stress testing
type: Item
instance of: scholarly article
title: Conditional copula simulation for systemic risk stress testing
zbMATH Open document ID: 1290.91173
author: Eike Christian Brechmann
author: Katharina Hendrich
author: Claudia Czado
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6306917
zbMATH Keywords: multivariate copula
zbMATH Keywords: sampling
zbMATH Keywords: vine copula
zbMATH Keywords: systemic risk
zbMATH Keywords: stress testing
zbMATH Keywords: CDS spreads
describes a project that uses: QRM
describes a project that uses: nacopula
describes a project that uses: ElemStatLearn
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.09.009
OpenAlex ID: W2019363555
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DOI: 10.1016/J.INSMATHECO.2013.09.009
description: scientific article; zbMATH DE number 6306917