Limiting dependence structures for tail events, with applications to credit derivatives (Q3410934): Difference between revisions
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Revision as of 11:07, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Limiting dependence structures for tail events, with applications to credit derivatives |
scientific article |
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Limiting dependence structures for tail events, with applications to credit derivatives (English)
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16 November 2006
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copula
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credit risk
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dependent defaults
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dependent risks
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extreme value theory
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regular variation
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tail dependence
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