Default probability estimation via pair copula constructions (Q320930)
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scientific article; zbMATH DE number 6635773
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| English | Default probability estimation via pair copula constructions |
scientific article; zbMATH DE number 6635773 |
Statements
Default probability estimation via pair copula constructions (English)
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7 October 2016
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default probability
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Markov chain Monte Carlo
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multivariate contingent claim
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pair copula
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vines
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0.8091323375701904
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0.7715113759040833
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0.7616449594497681
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0.7608435750007629
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0.7522702813148499
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