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Valuation of collateralized debt obligations with hierarchical Archimedean copulae · Study

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ArticleValuation of collateralized debt obligations with hierarchical Archimedean copulae

Barbara Choroś-Tomczyk2013

Article2013

Valuation of collateralized debt obligations with hierarchical Archimedean copulae

Barbara Choroś-Tomczyk · Wolfgang Karl Härdle · Ostap Okhrin

21 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1999An Introduction to Copulas 2000On Default Correlation 2006Multi-period corporate default prediction with stochastic covariates 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 2001Risk and Valuation of Collateralized Debt Obligations 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Frailty Correlated Default

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Year2013

Typearticle

Published2013-08-12

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jempfin.2013.08.001

openalex_workW2045950332

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