A remark on credit risk models and copula

DOI10.1007/978-4-431-54114-1_3zbMath1296.91272OpenAlexW2123252357MaRDI QIDQ2920941

Shigeo Kusuoka, Takenobu Nakashima

Publication date: 29 September 2014

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-54114-1_3

zbMATH Keywords

copulacredit riskdefault times

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Credit risk (91G40)

Related Items (1)

A typical copula is singular

Cites Work

• Mathematical methods for financial markets.
• Interest Rate Dynamics and Consistent Forward Rate Curves
• Credit risk: Modelling, valuation and hedging
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