A copula-based approach to portfolio credit risk modeling
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- Dean Fantazzini, 2008. "Dynamic Copula Modelling for Value at Risk," Frontiers in Finance and Economics, SKEMA Business School, vol. 5(2), pages 72-108, October.
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- Дробыш И.И., 2016. "Сравнительный анализ методов оценки рыночного риска, основанных на величине Value at Risk," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(4), pages 74-93, октябрь.
More about this item
Keywordscredit risk; credit bank; multivariate modeling; copula; extreme value theory; kernel smoothing;
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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