The crash-NIG factor model (Q487572)
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scientific article; zbMATH DE number 6389503
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| English | The crash-NIG factor model |
scientific article; zbMATH DE number 6389503 |
Statements
The crash-NIG factor model (English)
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22 January 2015
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economic scenario generation
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CDO
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copula
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factor model correlation
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default probability
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portfolio loss
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regime-switching
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hidden Markov model
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