Loan default correlation using an Archimedean copula approach : a case for recalibration
Year of publication: |
June 2015
|
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Authors: | Fenech, Jean Pierre ; Vosgha, Hamed ; Shafik, Salwa |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 47.2015, p. 340-354
|
Subject: | Default correlation | Credit risk | Archimedean copulas | Theorie | Theory | Kreditrisiko | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Insolvenz | Insolvency |
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