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...

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Bibliographic Details

Published in:	Dependence Modeling
Main Authors:	Ackerer Damien, Vatter Thibault
Format:	Article
Language:	English
Published:	De Gruyter 2017-12-01
Subjects:	credit portfolio credit derivatives discrete fourier transform factor copula random loss survival models 60e05 60e10 62h05 62h20 65t50 91g20 91g40 91g60
Online Access:	https://doi.org/10.1515/demo-2017-0022