Dependent defaults and losses with factor copula models

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of...

詳細記述

書誌詳細
出版年:Dependence Modeling
主要な著者: Ackerer Damien, Vatter Thibault
フォーマット: 論文
言語:英語
出版事項: De Gruyter 2017-12-01
主題:
オンライン・アクセス:https://doi.org/10.1515/demo-2017-0022