SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Modelling Dependence for Credit Derivatives with Copulas · Study

PreprintShelves

PreprintModelling Dependence for Credit Derivatives with Copulas

Jean-Frédéric Jouanin2007

OA

Preprintgreen2007

Modelling Dependence for Credit Derivatives with Copulas

Jean-Frédéric Jouanin · Grégory Rapuch · Gaël Riboulet · Thierry Roncalli

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 27 citations exist upstream.

References

1999An Introduction to Copulas 1999Continuous Martingales and Brownian Motion 1981Point Processes and Queues 2000On Default Correlation 1998On cox processes and credit risky securities 2002Copula-Dependent Defaults in Intensity Models 2000On Models of Default Risk 1989DIFFUSIONS, MARKOV PROCESSES AND MARTINGALES: Volume 2: Itô Calculus

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005A Top-Down Approach to Multi-Name Creditpreprint · 5 shared references 2007CORRELATED DEFAULTS IN INTENSITY‐BASED MODELSarticle · 4 shared references 2009Credit Risk Models with Incomplete Informationarticle · 4 shared references 2002Default Risk and Hazard Processchapter · 4 shared references 2006Limiting dependence structures for tail events, with applications to credit derivativesarticle · 4 shared references 2008Intensity process and compensator: A new filtration expansion approach and the Jeulin–Yor theoremarticle · 4 shared references

Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.1032561

openalex_workW1546404138

Links

Imported from OpenAlex (CC0) — nothing here is generated.