Shot-noise driven multivariate default models (Q1936462)
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scientific article; zbMATH DE number 6134553
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Shot-noise driven multivariate default models |
scientific article; zbMATH DE number 6134553 |
Statements
Shot-noise driven multivariate default models (English)
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5 February 2013
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multivariate default model
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shot-noise process
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default dependence
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copula
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contagion effect
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tail dependence
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catastrophe derivatives
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