Filip Lindskog

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The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
affiliation not provided to SSRNPictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
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Abstract:

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risk management, credit risk, copula, estimation