Login / Signup

Expected Tail Loss Efficient Frontiers for CDOS of Bespoke Portfolios Under One-Factor Copula Marginal Distributions.

Diresh JewanRenkuan G. GuoGareth Witten
Published in: World Congress on Engineering (Selected Papers) (2008)
Keyphrases
  • marginal distributions
  • joint distribution
  • dependence structure
  • random vectors
  • general purpose
  • training data
  • high dimensional
  • probability distribution
  • higher order
  • em algorithm
  • generative model