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

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Latest revision as of 07:11, 19 July 2024

scientific article; zbMATH DE number 7054998
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English
Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
scientific article; zbMATH DE number 7054998

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