An asymptotic characterization of hidden tail credit risk with actuarial applications (Q1707554): Difference between revisions

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Property / DOI: 10.1007/s13385-017-0150-6 / rank
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Latest revision as of 05:17, 11 December 2024

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An asymptotic characterization of hidden tail credit risk with actuarial applications
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    An asymptotic characterization of hidden tail credit risk with actuarial applications (English)
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    3 April 2018
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    asymptotics
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    capital allocation
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    conditional tail expectation
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    copula
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    credit portfolio loss
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    hidden regular variation
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