Misspecified Copulas in Credit Risk Models:How Good is Gaussian?
Year of publication: |
2005
|
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Authors: | Hamerle, Alfred ; Rösch, Daniel |
Institutions: | Universität <Regensburg> / Institut für Banken und Finanzierung |
Published in: | |
Subject: | Kreditrisiko | Korrelation | Default Correlations | Basler Eigenkapitalvereinbarung <2001> | Basel II | Kopula <Mathematik> | Copulas |
Extent: | 29 p. 590,67 p. application/pdf |
---|---|
Type of publication: | Article |
Language: | English |
Classification: | Corporate statistics and corporate cost accounting ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Articles ; No country specification |
Source: | USB Cologne (business full texts) |
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