Cutting edge classic from October 2001. Credit risk - Copulas and credit models - Latent variable models of default are used extensively both in internal credit rating methodologies and in the pricing of exotic credit derivatives. But, as the authors demonstrate using the copula formalism, such models are badly specified using default correlation and, worse still, can expose users to considerable ...

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.

Frey, Rüdiger, (2001)

Estimation of tail-related risk measures for heteroscedastic financial time series : an extreme value approach

McNeil, Alexander J., (2000)

VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights

Frey, Rüdiger, (2002)