Similar Search Results

Simulating copulas : stochastic models, sampling algorithms, and applications

Mai, Jan-Frederik; Scherer, Matthias - 2012

unifies the scattered literature on the simulation of various families of copulas as well as on different construction …

Persistent link: https://www.econbiz.de/10010372811

Copulae in mathematical and quantitative finance : proceedings of the workshop held in Cracow, 10 - 11 July 2012

Jaworski, Piotr (ed.); Durante, Fabrizio (ed.); … - 2013

Persistent link: https://www.econbiz.de/10009768760

Pricing and risk management of synthetic CDOs

Schlösser, Anna - 2011

Persistent link: https://www.econbiz.de/10008797619

Pricing and Risk Management of Synthetic CDOs

Schlösser, Anna - 2011

-- Simulation Framework -- Conclusion … important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian …

Persistent link: https://www.econbiz.de/10014015252

Econometrics and risk management

Fouque, Jean-Pierre (ed.); Fomby, Thomas B. (ed.); … - 2008 - 1. ed.

Persistent link: https://www.econbiz.de/10003793159

A hierarchical Archimedean copula for portfolio credit risk modelling

Puzanova, Natalia - 2011

I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean...