Elliptical and archimedean copula models : an application to the price estimation of portfolio credit derivatives
Nneka Umeorah, Phillip Mashele and Matthias Ehrhardt
| Year of publication: |
2021
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| Authors: | Umeorah, Nneka ; Mashele, Phillip ; Ehrhardt, Matthias |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 17.2021, 1, p. 1-29
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| Subject: | copulas | elliptical copulas | Archimedean copulas | basket credit default swaps | Monte Carlo simulations | default times | sensitivity analysis | Multivariate Verteilung | Multivariate distribution | Kreditrisiko | Credit risk | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Theorie | Theory | Kreditderivat | Credit derivative | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCR.2020.263 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012519958