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

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Revision as of 09:14, 15 July 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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