基于t-copula的信用组合一致性风险度量

基于t-copula的信用组合一致性风险度量作者：刘久彪，LiuJiubiao作者单位：天津财经大学,金融与保险研究中心,天津,300222刊名：北京航空航天大学学报（社会科学版）英文刊名：JOURNALOFBEIJINGUNIVERSITYOFAERONAUTICSANDASTRONAUTICS(SOCIALSCIENCESEDITION)年，卷(期)：2011,24(1)参考文献(9条)1.RudigerFrey;AlexanderJMcNeilCopulaandcreditmodels2001(10)2.AlexanderJMcNeil;RüdigerFrey;PaulEmbrechtsQuantitativeriskmanagement:concepts,techniquesandtools20053.JanBeran;DirkOckerSmallsampleasymptoticsforcreditriskportfolios[外文期刊]2005(01)4.MichaelAFlignerSmallsampleasymptotics1988(01)5.HuangX;OosterleeCW;JAMvanderWeideHigherordersaddlepointapproximationsinthevasicekportfoliocreditlossmodel2007(01)6.AcerbiC;TascheDOnthecoherenceofexpectedshortfall2002(26)7.KojiInui;MasaakiKijimaOnthesignificanceofexpectedshortfallasacoherentriskmeasure2004(04)8.RudigerFrey;AlexanderJMcNeilVaRandexpectedshortfallinportfoliosofdependentcreditrisks:conceptualandpracticallinsights2002(07)9.AchalBassamboo;SandeepJunejaPortfoliocreditriskwithextremaldependence:asymptoticanalysisandefficientsimulation2008(03)本文链接：