Take it to the limit: innovative CVaR applications to extreme credit risk measurement (Q320976)
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scientific article; zbMATH DE number 6635789
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| English | Take it to the limit: innovative CVaR applications to extreme credit risk measurement |
scientific article; zbMATH DE number 6635789 |
Statements
Take it to the limit: innovative CVaR applications to extreme credit risk measurement (English)
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7 October 2016
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uncertainty modeling
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credit risk
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conditional value at risk
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conditional probability of default
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capital buffers
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0.811238169670105
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0.74468594789505
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0.7288776636123657
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0.7259858846664429
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