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defaults in a dependency context. We also give a simple recursive algorithm to compute this distribution in an exchangeability … context. Numerical applications illustrate the impact of exchangeability among direct defaults and among contaminations, on …
Persistent link: https://www.econbiz.de/10010820749
Conditional dependence is expressed as a projection map in the trivariate copula space. The projected copula, its sample counterpart and the related process are defined. The weak convergence of the projected copula process to a tight centered Gaussian Process is obtained under weak assumptions...
Persistent link: https://www.econbiz.de/10011026052
This paper attempts to provide a synthetic view of varied techniques available for per- forming inference on income distributions. Two main approaches can be distinguished: one in which the object of interest is some index of income inequality or poverty, the other based on notions of stochastic...
Persistent link: https://www.econbiz.de/10008794291