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On Default Correlation: A Copula Function Approach · Study

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PreprintOn Default Correlation: A Copula Function Approach

David Xianglin Li1999

OA

Preprintgreen1999

On Default Correlation: A Copula Function Approach

David Xianglin Li

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

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

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1999An Introduction to Copulas 1999Modeling Term Structures of Defaultable Bonds 1998Understanding Relationships Using Copulas 1973Random variables, joint distribution functions, and copulas

Cited by

2002Copula-Dependent Defaults in Intensity Models 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2004Dependence in probabilistic modeling, Dempster-Shafer theory, and probability bounds analysis.2004Understanding the Risk of Synthetic CDOs 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2003Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates 2004A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk 2009Computational techniques for basic affine models of portfolio credit risk

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

2000On Default Correlationarticle · 4 shared references 2003Copula sensitivity in collateralized debt obligations and basket default swapsarticle · 4 shared references 2006Credit Risk Models I: Default Correlation in Intensity Modelspreprint · 4 shared references 2002Measures of riskarticle · 3 shared references 2002Copula-Dependent Defaults in Intensity Modelspreprint · 3 shared references 2008Models for construction of multivariate dependence – a comparison studyarticle · 3 shared references

Details

Year1999

Typepreprint

Published1999-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations299

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.187289

openalex_workW2097696535

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