Measurement and modelling of dependencies in economic capital a[euro] Abstract of the London Discuss...
Measurement and modelling of dependencies in economic capital a[euro] Abstract of the London Discussion; Measurement and modelling of dependencies in economic capital
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Cambridge: Cambridge University Press
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Language
English
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Cambridge: Cambridge University Press
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Contents
"Measurement and modeling of dependencies in economic capital" discusses the advantages and disadvantages of economic capital modeling. Estimating a correlation coefficient can cause serious practical difficulties, including spurious relationships, availability of data and technical constraints. Copulas allow a separation of the modeling of individ...
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Full title
Measurement and modelling of dependencies in economic capital a[euro] Abstract of the London Discussion; Measurement and modelling of dependencies in economic capital
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TN_cdi_proquest_journals_1021024714
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_1021024714
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ISSN
1357-3217
E-ISSN
1748-5002
DOI
10.1017/S1357321711000250
