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Integrating Credit and Market Risk: A Factor Copula based Method

Changzhi Liang, Xiaoqian Zhu, Yilin Li, Xiaolei Sun, Jianming Chen, Jianping Li. Integrating Credit and Market Risk: A Factor Copula based Method. In Yong Shi, Youmin Xi, Peter Wolcott, Yingjie Tian, Jianping Li, Daniel Berg, Zhengxin Chen, Enrique Herrera-Viedma, Gang Kou, Heeseok Lee, Yi Peng, Lean Yu, editors, Proceedings of the First International Conference on Information Technology and Quantitative Management, ITQM 2013, Dushu Lake Hotel, Sushou, China, 16-18 May, 2013. Volume 17 of Procedia Computer Science, pages 656-663, Elsevier, 2013. [doi]

Authors

Changzhi Liang

This author has not been identified. Look up 'Changzhi Liang' in Google

Xiaoqian Zhu

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Yilin Li

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Xiaolei Sun

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Jianming Chen

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Jianping Li

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