Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule (Q6667485)
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scientific article; zbMATH DE number 7971513
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| English | Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule |
scientific article; zbMATH DE number 7971513 |
Statements
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule (English)
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20 January 2025
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correlation
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covariance
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default risk charge
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factor copula model
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Gaussian copula
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incremental risk charge
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Markowitz portfolio optimisation
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multivariate normality test
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normal copula
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20/60/20 rule
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