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A limit distribution of credit portfolio losses with low default probabilities

Xiaojun Shi, Qihe Tang, Zhongyi Yuan
Year2017
VenueInsurance Mathematics and Economics
Typearticle
Citations17
DOI10.1016/j.insmatheco.2017.02.003
OpenAlexW2586931296

Topics

Probability and Risk ModelsCopula (linguistics)PortfolioMultivariate statisticsEconometricsLatent variable