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- W2363031973 abstract "The article uses four copulas(i.e.Gaussian copula,Student's t-copula,grouped t-copula and Clayton n-copula) to measure credit risk of the portfolio and optimize portfolio with the linear programming.The result shows that t-copula is the best to measure risk dependence and provides optimal asset allocation." @default.
- W2363031973 created "2016-06-24" @default.
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- W2363031973 date "2010-01-01" @default.
- W2363031973 modified "2023-09-25" @default.
- W2363031973 title "Measurement and Optimization of Credit Risk of the Portfolio——Based on Copula Theory" @default.
- W2363031973 hasPublicationYear "2010" @default.
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