Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15
In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...
