Search Results - subject:"copula function"

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Das, Sanjiv R.; Geng, Gary - In: Credit risk : models, derivatives, and management, (pp. 347-375). 2008

Persistent link: https://www.econbiz.de/10003718543

A copula test space model : how to avoid the wrong copula choice

Michiels, Frederik (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003724694

Modeling international financial returns with a multivariate regime switching copula

Chollete, Loran (contributor); Heinen, Andréas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003726991

A new approach for firm value and default probability estimation beyond Merton models

De Giuli, Maria Elena; Prienau, Karl; Maggi, Mario … - In: Computational economics 31 (2008) 2, pp. 161-180

Persistent link: https://www.econbiz.de/10003685972

Monte-Carlo-Methoden für das Risikomanagement und Treasury

Kienitz, Jörg; Küpker, Horst - In: Bankrisikomanagement : Mindestanforderungen, …, (pp. 535-565). 2008

Persistent link: https://www.econbiz.de/10003710851

On the construction of copulas and quasi-copulas with given diagonal sections

Nelsen, Roger B.; Quesada-Molina, José Juan; … - In: Insurance 42 (2008) 2, pp. 473-483

Persistent link: https://www.econbiz.de/10003733058

Credit correlation : life after copulas

Lipton, Alexander (contributor); Rennie, Andrew (contributor) - 2008

"The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from [subscript S]1 trillion to [subscript S]20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and...

Persistent link: https://www.econbiz.de/10015622232

Essays on realized volatility and jumps

Larson, Marcus - 2008

Persistent link: https://www.econbiz.de/10003758871

Pricing credit derivatives with a copula-based actuarial model for credit risk

Masala, Giovanni; Menzietti, Massimiliano; Micocci, Marco - In: The credit derivatives handbook : global perspectives, …, (pp. 95-119). 2008

Persistent link: https://www.econbiz.de/10003748408

Pricing forward-starting collateralized debt obligations using dynamic copula processes

Totouom, Daniel; Armstrong, Margaret - In: The credit derivatives handbook : global perspectives, …, (pp. 259-288). 2008

Persistent link: https://www.econbiz.de/10003748424

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