14. Copula assumptions

For the purposes of describing its assumptions on the interdependence between risk factors, an institution may select possible copula candidates according to its ability to explain default or migration clusters for historical tail events. The choice of a particular copula should be justified and documented.

1. Ħarsa ġenerali

1.1 Referenzi

1.2 Rekwiżiti identifikati

1.3 Standards relatati

2. Rekwiżiti identifikati

3. Standards relatati

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/