Conditional copula simulation for systemic risk stress testing (Q2015640)

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Conditional copula simulation for systemic risk stress testing
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    title
    Conditional copula simulation for systemic risk stress testing (English)
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    author
    Katharina Hendrich
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    Claudia Czado
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    publication date
    23 June 2014
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    zbMATH DE Number
    6306917
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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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    describes a project that uses
    QRM
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    nacopula
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    ElemStatLearn
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    OpenAlex ID
    W2019363555
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    cites work
    On Kendall's process
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    Q3996150
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    Q4382161
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    Q5706744
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    Q3281461
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