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Date: 3-18-2015 Initiator: Ambroz
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Date: 2-1-2015 Initiator: BarrySchachter
Innovations in Quantitative Risk ManagementDiscussed ?elds of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, ...
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Date: 12-24-2014 Initiator: BarrySchachter
An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependenceMeasuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient. The ...
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