Copula sensitivity analysis for portfolio credit derivatives.
Lei LeiYijie PengMichael C. FuJian-Qiang HuPublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- sensitivity analysis
- higher order
- credit scoring
- managerial insights
- influence diagrams
- credit risk
- dependence structure
- credit card
- joint distribution
- gaussian mixture
- portfolio management
- portfolio optimization
- semi parametric
- portfolio selection
- finite difference
- random vectors
- quasi invariant
- transaction costs
- decision variables
- risk analysis
- monte carlo simulation
- face recognition
- probability density function
- decision making