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