Clayton, Victoria 3168
Monash University - Department of Econometrics & Business Statistics
in Total Papers Downloads
in Total Papers Citations
Dependence, Blanket tests, Semi-parametric method, copula, Investment decision, Value-at risk
Basel III, correlation, credit risk, default probability, delinquency, exposure at default, loss given default, mortgage, mortgage-backed security
Consumer loans, Credit scoring, Probability of default, Generalized additive model, Neural networks
Heavy-tailed distribution, tail losses, Generalised Pareto Distribution, OpVaR, Confidence intervals, Expected Shortfall
Bootstrap Method, Heterogeneous Autoregressive Model, Locally Stationary Process, Nonparametric Method
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File name: caje.
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Boundary bias, Gaussian copula kernel, Kernel selection, Bayesian bandwidth
File name: boer.
File name: j-629X.
Operational risk, Basel II, Event studies, Operational loss events, G21
File name: CAJE.
Loss given default, Credit risk, Borrower characteristics, Nonlinear models, Local constant method
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