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Credit risk dependence modeling with dynamic copula: An application to CDO tranches - MaRDI portal

Credit risk dependence modeling with dynamic copula: An application to CDO tranches

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Publication:3572010

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DOI10.1016/S0731-9053(08)22004-9zbMath1189.91197OpenAlexW2492111130MaRDI QIDQ3572010

Daniel Totouom, Margaret Armstrong

Publication date: 30 June 2010

Published in: Econometrics and Risk Management (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(08)22004-9

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10) Credit risk (91G40)

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