Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648): Difference between revisions

From MaRDI portal
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/10920277.2013.830557 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2119172906 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Coherent Measures of Risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for risk capital allocations based on conditional tail expectation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regular variation of GARCH processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4726487 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate models for operational risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating conditional tail expectation with actuarial applications in view / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tails of multivariate Archimedean copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Measures and Comonotonicity: A Review / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate extremes and the aggregation of dependent risks: examples and counter-examples / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extreme Value Theory as a Risk Management Tool / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk Measures and Multivariate Extensions of Breiman's Theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Understanding Relationships Using Copulas / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5480304 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Iterated Cte / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail risk of multivariate regular variation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extremal dependence of copulas: a tail density approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Variance of the CTE Estimator / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5706744 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An introduction to copulas. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3771297 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Extremal Dependence Measure and Asymptotic Independence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heavy-Tail Phenomena / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the large homogeneous portfolio approximation with the Student-\(t\) copula / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generic framework for stochastic loss-given-default / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Analysis of Multivariate Tail Conditional Expectations / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 06:11, 19 July 2024

scientific article; zbMATH DE number 7054998
Language Label Description Also known as
English
Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
scientific article; zbMATH DE number 7054998

    Statements

    Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (English)
    0 references
    0 references
    0 references
    15 May 2019
    0 references
    loss given default
    0 references
    multivariate models
    0 references
    asymptotic estimates
    0 references
    Archimedean copulas
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers