Artikel
Open Access
Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
-
Kevin Jakob
und
Matthias Fischer
Veröffentlicht/Copyright:
10. März 2014
Received: 2013-11-4
Accepted: 2014-1-23
Published Online: 2014-3-10
© 2014 Kevin Jakob et al.
Artikel in diesem Heft
- Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
- A note on the Galambos copula and its associated Bernstein function
- Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology
- Copula-based dependence measures
- Solution to an open problem about a transformation on the space of copulas
- Some New Random Effect Models for Correlated Binary Responses
Schlagwörter für diesen Artikel
copula;
credit risk;
model risk;
quantitative finance;
CreditRisk+;
capital requirements
Creative Commons
BY-NC-ND 3.0
Artikel in diesem Heft
- Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
- A note on the Galambos copula and its associated Bernstein function
- Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology
- Copula-based dependence measures
- Solution to an open problem about a transformation on the space of copulas
- Some New Random Effect Models for Correlated Binary Responses
