State dependent correlations in the Vasicek default model

DOI10.1515/DEMO-2020-0017zbMath1460.60013OpenAlexW3118149618MaRDI QIDQ830304

Adam Metzler

Publication date: 7 May 2021

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2020-0017

zbMATH Keywords

Vasicek modelstochastic correlationone-factor Gaussian copularegulatory capital

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Distribution theory (60E99) Credit risk (91G40)

Cites Work

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• REGULATORY CAPITAL MODELING FOR CREDIT RISK
• PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
• Testing Statistical Hypotheses

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