State dependent correlations in the Vasicek default model (Q830304)
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scientific article; zbMATH DE number 7345648
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| English | State dependent correlations in the Vasicek default model |
scientific article; zbMATH DE number 7345648 |
Statements
State dependent correlations in the Vasicek default model (English)
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7 May 2021
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one-factor Gaussian copula
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Vasicek model
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stochastic correlation
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regulatory capital
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0.88294077
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0.8665301
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0.85314983
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0.8530489
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0.85228217
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0.8496393
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0.8492712
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0.8410852
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0.84069914
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