Default Probability Estimation via Pair Copula Constructions
Year of publication: |
2013-07
|
---|---|
Authors: | Dalla Valle, Luciana ; De Giuli, Maria Elena ; Manelli, Claudio ; Tarantola, Claudia |
Institutions: | Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia |
Subject: | Bayesian analysis | Pair Copula | Default Risk | Multivariate Contingent Claim | Markov Chain Monte Carlo | Vines |
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