Valor en riesgo de crédito y déficit esperado aplicando cópulas (Tema Central)
This paper presents an application of Copula Theory to an Ecuadorian consumer credit portfolio. To be applied, first, the marginal distributions of the default rate and the amount of exposure were estimated based on historical information; then copulas were built, and Sklar’s Theorem was applied thr...
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| Natura: | article |
| Lingua: | spa |
| Pubblicazione: |
2021
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| Accesso online: | http://hdl.handle.net/10644/7939 |
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