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Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas Report
Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas Report The goal of this paper is to study how a full-range tail dependence copula would be useful in assessing tail risks in a ...- Authors: Lei Hua
- Date: Dec 2013
- Competency: External Forces & Industry Knowledge
- Topics: Enterprise Risk Management>Risk measurement - ERM