Default probability estimation via pair copula constructions
Luciana Dalla Valle, Maria Elena De Giuli, Claudia Tarantola, Claudio Manelli
| Year of publication: |
2016
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|---|---|
| Authors: | Dalla Valle, Luciana ; De Giuli, Maria Elena ; Tarantola, Claudia ; Manelli, Claudio |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 249.2016, 1 (16.2.), p. 298-311
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| Subject: | Default probability | Markov chain Monte Carlo | Multivariate contingent claim | Pair copula | Vines | Multivariate Verteilung | Multivariate distribution | Wahrscheinlichkeitsrechnung | Probability theory | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Monte Carlo simulation | Insolvenz | Insolvency | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.08.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011435851