Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
DOI10.1007/s00184-012-0382-zzbMath1430.91121OpenAlexW2038682698MaRDI QIDQ1938497
Marcos Escobar Anel, German Bernhart, Matthias Scherer, Jan-Frederik Mai
Publication date: 21 February 2013
Published in: Metrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00184-012-0382-z
hierarchical copulaportfolio loss distributionCDO pricingportfolio default modelscale mixture of Marshall-Olkin copulas
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characteristic functions; other transforms (60E10) Credit risk (91G40)
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