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Copula-based default dependence modeling : where do we stand?

Luciano, Elisa - In: Credit risk : models, derivatives, and management, (pp. 327-345). 2008

Persistent link: https://www.econbiz.de/10003718534

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

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

The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...

Persistent link: https://www.econbiz.de/10003721579

The copula approach to modelling multivariate extreme values : theory and examples with financial applications in view

Demarta, Stefano - 2007

Persistent link: https://www.econbiz.de/10003740889

Applying the copula approach to sample selection modelling

Genius, Margarita; Strazzera, Elisabetta - In: Applied economics 40 (2008) 10/12, pp. 1443-1455

Persistent link: https://www.econbiz.de/10003742975

Modeling dependencies with copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009

Persistent link: https://www.econbiz.de/10003745932

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

Measuring and optimizing portfolio credit risk : a Copula-based approach

Di Clemente, Annalisa; Romano, Claudio A. - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 3, pp. 325-357

Persistent link: https://www.econbiz.de/10003690352

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