A new family of modified Gaussian copulas for market consistent valuation of government guarantees
Roy Cerqueti, Francesco Cesarone, Maria C. Heusch, Carlo D. Mottura
| Year of publication: |
2024
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|---|---|
| Authors: | Cerqueti, Roy ; Cesarone, Francesco ; Heusch, Maria C. ; Mottura, Carlo D. |
| Published in: |
Review of managerial science : RMS. - Berlin : Springer, ISSN 1863-6691, ZDB-ID 2365045-X. - Vol. 18.2024, 7, p. 1985-2005
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| Subject: | Default risks | Financial crisis | Gaussian copulas | Government guarantee | Stochastic dependence | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Theorie | Theory | Kreditrisiko | Credit risk | Stochastischer Prozess | Stochastic process | Bürgschaft | Surety |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11846-022-00600-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015134056