Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models

We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis....

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主要作者: Azamighaimasi, Arsalan
格式: Article
語言:English
出版: Universiti Utara Malaysia 2012
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在線閱讀:http://repo.uum.edu.my/25012/1/IJBF%209%203%202012%201%2014.pdf
http://repo.uum.edu.my/25012/
http://ijbf.uum.edu.my/index.php/previous-issues/147-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-3-september-2012
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