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A one-factor copula-based model for credit portfolios

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31110%2F14%3A00050053" target="_blank" >RIV/61384399:31110/14:00050053 - isvavai.cz</a>

  • Result on the web

    <a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973541952&partnerID=40&md5=74dbd2836fc90fb6c9ea8856baf4779" target="_blank" >https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973541952&partnerID=40&md5=74dbd2836fc90fb6c9ea8856baf4779</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    A one-factor copula-based model for credit portfolios

  • Original language description

    Main topics of the document: portfolio; credit risk; credit VAR; portfolio credit models; one-factor copula model; credit value-at-risk

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AE - Management, administration and clerical work

  • OECD FORD branch

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Journal of Risk

  • ISSN

    1465-1211

  • e-ISSN

  • Volume of the periodical

    17

  • Issue of the periodical within the volume

    2

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    40

  • Pages from-to

    93-132

  • UT code for WoS article

  • EID of the result in the Scopus database

    2-s2.0-84973541952