Pages that link to "Item:Q2488500"
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The following pages link to A note on the large homogeneous portfolio approximation with the Student-\(t\) copula (Q2488500):
Displaying 15 items.
- Pricing CDO tranches in an intensity based model with the mean reversion approach (Q614311) (← links)
- Sharp asymptotics for large portfolio losses under extreme risks (Q666988) (← links)
- Optimal bespoke CDO design via NSGA-II (Q1040049) (← links)
- Dependent defaults and losses with factor copula models (Q1648673) (← links)
- Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors (Q1994418) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- Systemic Risk and Default Clustering for Large Financial Systems (Q4560344) (← links)
- An accurate, tractable, and analytically integrable polynomial expansion of the skewed Student’s <i>t</i>-distribution (Q4638699) (← links)
- FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (Q5010074) (← links)
- Quantifying credit portfolio losses under multi-factor models (Q5031704) (← links)
- MULTIVARIATE COMPOSITE COPULAS (Q5067887) (← links)
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224) (← links)
- Copula dynamics in CDOs (Q5245912) (← links)
- The impact of different correlation approaches on valuing credit default swaps with counterparty risk (Q5400659) (← links)
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648) (← links)
