Invariance properties in the dynamic Gaussian copula model (Q4606383)
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scientific article; zbMATH DE number 6847880
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| English | Invariance properties in the dynamic Gaussian copula model |
scientific article; zbMATH DE number 6847880 |
Statements
Invariance Properties in the Dynamic Gaussian Copula Model (English)
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7 March 2018
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counterparty credit risk
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wrong-way risk
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Gaussian copula
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dynamic copula
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immersion property
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invariance time
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CDS
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0.7437657117843628
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0.7304317951202393
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0.7182128429412842
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0.6952676177024841
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0.6940168738365173
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