A Multivariate Default Model with Spread and Event Risk
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Publication:4585901
DOI10.1080/1350486X.2013.803705zbMath1396.91792OpenAlexW2073234475MaRDI QIDQ4585901
Pablo Olivares, Steffen Schenk, Jan-Frederik Mai, Matthias Scherer
Publication date: 11 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.803705
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
Related Items (2)
Dependent defaults and losses with factor copula models ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution
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