A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula

DOI10.1155/2010/546547zbMath1201.91213OpenAlexW2042599638WikidataQ58650283 ScholiaQ58650283MaRDI QIDQ1958420

Henry Schellhorn, Sachapon Tungsong, Nan Song, Didier Cossin

Publication date: 29 September 2010

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/225478

zbMATH Keywords

credit riskGaussian copulaStudent's \(t\)-copula

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10) Credit risk (91G40)

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Cites Work

• Pair-copula constructions of multiple dependence
• On the asymptotic power of the two-sided Kolmogorov-Smirnov test
• An introduction to copulas.
• Credit Risk in a Network Economy
• The Kolmogorov-Smirnov Test for Goodness of Fit
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