Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (Q2656995): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type |
scientific article |
Statements
Multiplicative background risk models: setting a course for the idiosyncratic risk factors distributed phase-type (English)
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17 March 2021
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systemic risk
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size-biased distribution
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phase-type distribution
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conditional tail expectation
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economic capital allocation
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