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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
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