| | AMS Classification 62G32
"Statistics of extreme values; tail inference"These are all the papers that have the " 62G32 " classification. Note that not all authors/journals assign MSC codes. (sorted by date) Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending
by Damiano Brigo of King's College, London
(570K PDF) -- 57 pages -- June 19, 2012 Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
by Damiano Brigo of King's College, London, and
Claudio Nordio of Banco Popolare, Milan
(227K PDF) -- 11 pages -- October 20, 2010 Scaling Of High-Quantile Estimators
by Matthias Degen of ETH Zurich, and
Paul Embrechts of ETH Zurich
(275K PDF) -- 28 pages -- March 2009 Non-parametric Estimation of Elliptical Copulae With Application to Credit Risk
by Krassimir Kostadinov of the Munich University of Technology
(458K PDF) -- 37 pages -- April 10, 2005
[Home] [AMS Classification] | |
|
