Copula-based factor model for credit risk analysis
Meng-Jou Lu, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
| Year of publication: |
November 2017
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|---|---|
| Authors: | Lu, Meng-Jou ; Chen, Cathy Yi-Hsuan ; Härdle, Wolfgang |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 49.2017, 4, p. 949-971
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| Subject: | Factor model | Conditional factor loading | State-dependent recovery rate | Kreditrisiko | Credit risk | Faktorenanalyse | Factor analysis | Kreditwürdigkeit | Credit rating | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-016-0613-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011797579