A new approach to measure systemic risk: a bivariate copula model for dependent censored data (Q2315658): Difference between revisions

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Revision as of 21:32, 26 August 2024

scientific article
Language Label Description Also known as
English
A new approach to measure systemic risk: a bivariate copula model for dependent censored data
scientific article

    Statements

    title
    A new approach to measure systemic risk: a bivariate copula model for dependent censored data (English)
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    publication date
    25 July 2019
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    zbMATH Keywords
    OR in banking
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    copula models
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    pseudo-maximum likelihood estimation
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    censored sampling
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    systemic risk
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    describes a project that uses
    QRM
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    bootstrap
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    CAViaR
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    cites work
    Q3412547
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    Q4001781
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    Q4318617
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    Q4375492
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    Q5386477
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    Q4382161
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    Simulating Copulas
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    Q5706744
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    Q3281461
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    Identifiers

    Mathematics Subject Classification ID
    91G45
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    62H05
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    62N01
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    62P05
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    zbMATH DE Number
    7085606
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    OpenAlex ID
    W2949970007
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    Wikidata QID
    Q127625073
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