Carsten Binnenhei

DGZ-DekaBank

Mainzer Landstr. 16

D-60325 Frankfurt

Germany

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Scholarly Papers (1)

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Heterogeneous T-Copula Implementation in a Credit Portfolio Model

Number of pages: 20 Posted: 20 Jan 2017
Carsten Binnenhei and Ludger Overbeck
DGZ-DekaBank and University of Giessen
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Abstract:

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Tail-dependency, heterogeneity, t-copula, credit portfolio, capital allocation