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Browsing Mathematics by Subject "Copula function"

Browsing Mathematics by Subject "Copula function"

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  • Magzanov, Shynggys (Nazarbayev University School of Science and Technology, 2019-08-08)
    Credit risk modelling of a portfolio of exposures is essential part of activity of every financial institution. However this procedure is complicated since the joint behavior of chosen exposures must be known. In this paper ...