SMEAL WIKI

An asymptotic characterization of hidden tail credit risk with actuarial applications

Zhongyi Yuan
Year2017
VenueEuropean Actuarial Journal
Typearticle
Citations4
DOI10.1007/s13385-017-0150-6
OpenAlexW2609155764

Topics

Probability and Risk ModelsTail riskEconometricsDiversification (marketing strategy)Credit riskCoherent risk measure