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FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK - MaRDI portal

FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (Q5010074)

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scientific article; zbMATH DE number 7384602
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FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK
scientific article; zbMATH DE number 7384602

    Statements

    title
    FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (English)
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    publication date
    24 August 2021
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    zbMATH Keywords
    normal tempered stable distribution
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    factor copula model
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    collateralized debt obligation
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    credit derivatives
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    cites work
    Q4431597
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    Q4888858
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    Q5226700
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    Q4794126
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    Q3083935
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    Q4937701
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91G10
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    91G20
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    62P05
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    62H05
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    zbMATH DE Number
    7384602
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    OpenAlex ID
    W3169498838
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