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The Grouped t-Copula with an Application to Credit Risk

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References

1999An Introduction to Copulas7,743 cited
2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
2002Copula-Dependent Defaults in Intensity Models302 cited
2003Kendall’s Tau for Elliptical Distributions175 cited

Cited by

2009Constructing hierarchical Archimedean copulas with Lévy subordinators67 cited
2014High Dimensional Dynamic Stochastic Copula Models66 cited
2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements58 cited
2008Testing for structural changes in exchange rates’ dependence beyond linear correlation52 cited
2006Limiting dependence structures for tail events, with applications to credit derivatives52 cited
2014Hierarchical Kendall copulas: Properties and inference50 cited
2012-extendible copulas29 cited
2021A Vine Copula-Based Global Sensitivity Analysis Method for Structures with Multidimensional Dependent Variables10 cited

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