Dependent defaults and losses with factor copula models (Q1648673)
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scientific article; zbMATH DE number 6895344
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| English | Dependent defaults and losses with factor copula models |
scientific article; zbMATH DE number 6895344 |
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Dependent defaults and losses with factor copula models (English)
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27 June 2018
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credit portfolio
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credit derivatives
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discrete Fourier transform
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factor copula
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random loss
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survival models
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0.8301478624343872
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0.8162969946861267
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0.8152320384979248
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0.8149793148040771
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0.8095409870147705
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