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基于t-copula的信用组合一致性风险度量

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作者：刘久彪， Liu Jiubiao

作者单位：天津财经大学,金融与保险研究中心,天津,300222

刊名：

北京航空航天大学学报（社会科学版）

英文刊名：JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND ASTRONAUTICS(SOCIAL SCIENCES EDITION)

年，卷(期)：2011,24(1)

参考文献(9条)

1.Rudiger Frey;Alexander J McNeil Copula and credit models 2001(10)

2.Alexander J McNeil;Rüdiger Frey;Paul Embrechts Quantitative risk management:concepts,techniques and tools 2005

3.Jan Beran;Dirk Ocker Small sample asymptotics for credit risk portfolios[外文期刊] 2005(01)

4.Michael A Fligner Small sample asymptotics 1988(01)

5.Huang X;Oosterlee C W;J A M van der Weide Higher order saddlepoint approximations in the vasicek portfolio credit loss model 2007(01)

6.Acerbi C;Tasche D On the coherence of expected shortfall 2002(26)

7.Koji Inui;Masaaki Kijima On the significance of expected shortfall as a coherent risk measure 2004(04)

8.Rudiger Frey;Alexander J McNeil VaR and expected shortfall in portfolios of dependent credit risks:conceptual and practical linsights 2002(07)

9.Achal Bassamboo;Sandeep Juneja Portfolio credit risk with extremal dependence:asymptotic analysis and efficient simulation 2008(03)

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