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:
Online Access:https://doi.org/10.1515/demo-2017-0022