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Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

Qihe Tang, Zhongyi Yuan
Year2013
VenueNorth American Actuarial Journal
Typearticle
Citations35
DOI10.1080/10920277.2013.830557
OpenAlexW2119172906

Topics

Probability and Risk ModelsMultivariate statisticsEconometricsPortfolioLemma (botany)Mathematics