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Constrained nonparametric copulas
Gagliardini, Patrick; Gouriéroux, Christian - 2002
Persistent link: https://www.econbiz.de/10001714340
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Weak convergence of empirical copula processes
Fermanian, Jean-David; Radulovic, Dragan; Wegkamp, Marten H. - 2002
Persistent link: https://www.econbiz.de/10001660114
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Pricing and hedging credit derivatives with copulas
Cherubini, Umberto; Luciano, Elisa - In: Economic notes : economic review of Banca Monte dei … 32 (2003) 2, pp. 219-241
Persistent link: https://www.econbiz.de/10001790788
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Goodness-of-fit tests for parametric families of Archimedean copulas
Trede, Mark; Savu, Cornelia - 2004
Persistent link: https://www.econbiz.de/10002688693
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Modelling dependence with copulas and applications to risk management
Embrechts, Paul; Lindskog, Filip; McNeil, Alexander J. - In: Handbook of heavy tailed distributions in finance, (pp. 329-384). 2003
Persistent link: https://www.econbiz.de/10001882115
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Credit risk modelling and estimation via elliptical copulae
Schmidt, Rafael - In: Credit risk : measurement, evaluation and management ; …, (pp. 267-289). 2003
Persistent link: https://www.econbiz.de/10002002400
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Limiting dependence structure for credit defaults
Charpentier, Arthur; Juri, Alessandro - 2004
Persistent link: https://www.econbiz.de/10002553887
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A note on the large homogeneous portfolio approximation with the student-t copula
Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584
Persistent link: https://www.econbiz.de/10003133291
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Value-at-risk calculations with time varying copulae
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2005
Persistent link: https://www.econbiz.de/10003035839
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295