Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula

Author:

Lee Yongwoong,Yang Kisung

Funder

Hankuk University of Foreign Studies

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference44 articles.

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5. Basel ii credit loss distributions under non-normality;Batiz-Zuk;Journal of Fixed Income,2013

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