Checking for asymmetric default dependence in a credit card portfolio : a copula approach
Jonathan Crook; Fernando Moreira
| Year of publication: |
2011
|
|---|---|
| Authors: | Crook, Jonathan N. ; Moreira, Fernando |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 4, p. 728-742
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| Subject: | Credit risk | Asymmetric dependence | Consumer loans | Copulas | Kreditrisiko | Multivariate Verteilung | Multivariate distribution | Kreditkarte | Credit card | Verbraucherkredit | Consumer credit | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009306529