Common cause effects in portfolio loss estimation
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Author / Producer
Date
2012-05
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
8 (5)
Pages / Article No.
497 - 506
Publisher
Taylor & Francis
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Portfolio analysis; Loss distribution; Risk distribution; System effects; Hierarchical models; Risk aggregation
Organisational unit
03561 - Faber, Michael H. (ehemalig)