Credit risk: Copulas and credit models - Using the copula formalism, the authors demonstrate that latent variable models of default are badly specified using default correlation and can expose users to considerable model risk.
Year of publication: |
2001
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Authors: | Frey, Rüdiger ; McNeil, Alexander ; Nyfeler, Mark |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 10, p. 111-114
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