A hierarchical copula-based world-wide valuation of sovereign risk
Year of publication: |
2015
|
---|---|
Authors: | Bernardi, Enrico ; Falangi, Federico ; Romagnoli, Silvia |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 61.2015, C, p. 155-169
|
Publisher: |
Elsevier |
Subject: | Sovereign risk | Hierarchical copula function | Loss distribution | Clustering methods | Enlargement of the dependence structure |
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