Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives

DOI10.1080/14697688.2010.544324zbMath1277.91173OpenAlexW2062525294MaRDI QIDQ2866394

Kar-Wei Loh, Huan Huang, Noel McWilliam

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.544324

zbMATH Keywords

pattern recognitioncopulascredit derivativescontagionnon-Gaussian distributionsparameter estimation techniquestail analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• The topography of multivariate normal mixtures
• Estimation in Mixtures of Two Normal Distributions

This page was built for publication: Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives