A vine copula approach to measure portfolio credit risk (Q5166012)
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scientific article; zbMATH DE number 6310670
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A vine copula approach to measure portfolio credit risk |
scientific article; zbMATH DE number 6310670 |
Statements
30 June 2014
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portfolio credit risk measurement
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vine copula
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dependency structure
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value at risk
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backtesting
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0.8109177350997925
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0.8104963302612305
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0.7759212255477905
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0.77471923828125
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0.7742812633514404
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