Bernhart, German; Anel, Marcos Escobar; Mai, Jan-Frederik; … - In: Metrika 76 (2013) 2, pp. 179-203
We present a unification of the Archimedean and the Lévy-frailty copula model for portfolio default models. The new default model exhibits a copula known as scale mixture of Marshall-Olkin copulas and an investigation of the dependence structure reveals that desirable properties of both...