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A Class of Elliptical Copulas and Their Application to Credit Risk Management (in German)
Year Of Publication: 2005
Month Of Publication: January
Pages: 242
Download Count: 1317
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-8-2005
Publisher: Administrator
Summary
Das Ziel dieser Arbeit ist es, die durch unterschiedliche Spezifikationen eines allgemeinenModells entstehenden drei Kreditrisikomodelle hinsichtlich ihrer durch eine Simulationgesch¨atzten Portfolioverlustverteilungen zu vergleichen. Dabei interessieren wir unsausschlie?lich f¨ur den ¨au?ersten Rand der Portfolioverlustverteilung, wo gro?e Verlustestattfind
Author(s)
Schwarz, Christian Sign in to follow this author
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