Conditional copula simulation for systemic risk stress testing (Q2015640)

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Conditional copula simulation for systemic risk stress testing
scientific article

    Statements

    title
    Conditional copula simulation for systemic risk stress testing (English)
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    publication date
    23 June 2014
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    zbMATH Keywords
    multivariate copula
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    sampling
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    vine copula
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    systemic risk
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    stress testing
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    CDS spreads
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    Identifiers

    zbMATH DE Number
    6306917
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