Checking for asymmetric default dependence in a credit card portfolio : a copula approach
Year of publication: |
2011
|
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Authors: | Crook, Jonathan N. ; Moreira, Fernando |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 4, p. 728-742
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Subject: | Credit risk | Asymmetric dependence | Consumer loans | Copulas | Kreditrisiko | Multivariate Verteilung | Multivariate distribution | Verbraucherkredit | Consumer credit | Kreditkarte | Credit card | Portfolio-Management | Portfolio selection | Theorie | Theory |
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