Conditional copula simulation for systemic risk stress testing (Q2015640)
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scientific article; zbMATH DE number 6306917
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Conditional copula simulation for systemic risk stress testing |
scientific article; zbMATH DE number 6306917 |
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Conditional copula simulation for systemic risk stress testing (English)
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23 June 2014
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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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0.8045582175254822
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0.7749185562133789
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0.7667837738990784
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0.759530782699585
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