Investment Management & Financial Innovations (Aug 2007)

Optimisation of Conditional-VaR in an Actuarial Model for Credit Risk Assuming a Student Copula Dependence Structure

Giovanni Masala,
Massimiliano Menzietti,
Marco Micocci

Affiliations

Giovanni Masala: Researcher, Department of Economic and Business Science, University of Cagliari
Massimiliano Menzietti
Marco Micocci

Journal volume & issue: Vol. 4, no. 3

Abstract

No abstracts available.

Published in Investment Management & Financial Innovations

ISSN: 1810-4967 (Print); 1812-9358 (Online)
Publisher: LLC "CPC "Business Perspectives"
Country of publisher: Ukraine
LCC subjects: Social Sciences: Finance
Website: https://businessperspectives.org/journals/investment-management-and-financial-innovations?category_id=30

About the journal