Invariance Properties in the Dynamic Gaussian Copula Model

DOI10.1051/proc/201756022zbMath1407.91263arXiv1702.03232OpenAlexW3123614056MaRDI QIDQ4606383

Stéphane Crépey, Shiqi Song

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.03232

zbMATH Keywords

Gaussian copulaCDSwrong-way riskcounterparty credit riskdynamic copulaimmersion propertyinvariance time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Credit risk (91G40)

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