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Multivariate distribution, dependence structure, concordance measures, scoring, Markov processes, risk management, extreme value theory, stress testing, operational risk, market risk, credit risk
Copulas, market risk, credit risk, operational risk
Maximum likelihood method, inference for margins, CML method, point estimator, non parametric estimation, Deheuvels copula, copula approximation
gamma-transformation, Kendall's tau, Spearman's rho, upper tail dependence
Doubly stochastic matrices, Bernstein polynomials approximation, checkerboard copula, partitions of unity, Markov algebras, product of copulas
Spearman's rho, Kendall's tau, cubic copula
Triangle functions, dependency bounds, infimal, supremal and sigma-convolutions, Makarov inequalities, Value-at-Risk, square root rule, Dall'aglio problem, Kantorovich distance
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default modeling, credit risk models, random times, enlargements of filtrations, hazard process, immersed filtrations, pseudo‐stopping times, honest times
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