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Portfolio Risk and Dependence Modeling
Company: International Journal of Financial Research
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: December
Resource Link: Click here to open
Pages: 151-158
Download Count: 0
View Count: 1329
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 6-30-2013
Publisher: Administrator
Summary
This paper has considered portfolio credit risk with a focus on two approaches, the factor model, and copula model. We have reviewed two models with emphasis on the joint default probably. The copula function describes the dependence structure of a multivariate random variable, in this paper, it used as a practical to simulation of generate portfolio with different copula, and we only used Gaussian and t–copula case. We generated portfolio default distributions and studied the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.
(volume 4, number 1)
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Author(s)
Azamighaimasi, Arsaian Sign in to follow this author
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