Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas
In financial analysis, stochastic models are more and more used to estimate potential outcomes in a risky framework. This paper proposes an approach of modeling the dependence of losses on securities, and the potential loss of the portfolio is divided into sectors each including two subsectors. The...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
|
| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2021/4651044 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|