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The Grouped t-Copula with an Application to Credit Risk · Study

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PreprintThe Grouped t-Copula with an Application to Credit Risk

Stéphane Daul2009

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Preprintgreen2009

The Grouped t-Copula with an Application to Credit Risk

Stéphane Daul · Enrico G. De Giorgi · Filip Lindskog · Alexander J. McNeil

78 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1999An Introduction to Copulas 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002Copula-Dependent Defaults in Intensity Models 2003Kendall’s Tau for Elliptical Distributions

Cited by

2009Constructing hierarchical Archimedean copulas with Lévy subordinators 2014High Dimensional Dynamic Stochastic Copula Models 2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements 2006Limiting dependence structures for tail events, with applications to credit derivatives 2008Testing for structural changes in exchange rates’ dependence beyond linear correlation 2014Hierarchical Kendall copulas: Properties and inference 2012-extendible copulas 2021A Vine Copula-Based Global Sensitivity Analysis Method for Structures with Multidimensional Dependent Variables

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations78

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1358956

openalex_workW1513211478

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