Asymptotic behaviour of multivariate default probabilities and default correlations under stress (Q2804413)
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scientific article; zbMATH DE number 6575353
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| English | Asymptotic behaviour of multivariate default probabilities and default correlations under stress |
scientific article; zbMATH DE number 6575353 |
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Asymptotic behaviour of multivariate default probabilities and default correlations under stress (English)
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29 April 2016
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financial risk management
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credit portfolio modeling
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multivariate default probabilities
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default correlations
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asymptotics
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stress testing
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elliptic distribution
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max-domain of attraction
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0.8067220449447632
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0.7979117035865784
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0.7977688908576965
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0.7885037064552307
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0.7710710167884827
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