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Showing 1 to 1 of 1 for “"copulas; multivariate distributions; credit risk; expectation; aggregate functions"”.
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Copulas for credit derivative pricing and other applications.
Copulas are multivariate probability distributions, as well as functions which link marginal distributions to their joint distribution. These functions have been used extensively in finance and more recently in other disciplines, for example hydrology and genetics. This study has two components, …