A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula
One of the key questions in credit dependence modelling is the specfication of the copula function linking the marginals of default variables. Copulae functions are important because they allow to decouple statistical inference into two parts: inference of the marginals and inference of the dependen...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
Asia University
2010-01-01
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Series: | Advances in Decision Sciences |
Online Access: | http://dx.doi.org/10.1155/2010/546547 |