Limiting dependence structures for tail events, with applications to credit derivatives (Q3410934): Difference between revisions

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Revision as of 22:14, 24 June 2024

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Limiting dependence structures for tail events, with applications to credit derivatives
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    Limiting dependence structures for tail events, with applications to credit derivatives (English)
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    16 November 2006
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    copula
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    credit risk
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    dependent defaults
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    dependent risks
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    extreme value theory
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    regular variation
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    tail dependence
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