A remark on credit risk models and copula

DOI10.1007/978-4-431-54114-1_3zbMATH Open1296.91272OpenAlexW2123252357MaRDI QIDQ2920941FDOQ2920941

Authors: Shigeo Kusuoka, Takenobu Nakashima 

Publication date: 29 September 2014

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-54114-1_3

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zbMATH Keywords

copulacredit riskdefault times

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07)

Cites Work

• Interest rate dynamics and consistent forward rate curves
• Title not available (Why is that?)
• Mathematical methods for financial markets.
• Credit risk: Modelling, valuation and hedging
• Title not available (Why is that?)

Cited In (15)

• Dynamic hedging of portfolio credit risk in a Markov copula model
• Title not available (Why is that?)
• On Cox processes and credit risky securities
• Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
• Invariance properties in the dynamic Gaussian copula model
• Applications of copula theory in credit risk
• Consistent assumptions for modeling credit loss correlations
• Financial and risk modelling with semicontinuous covariances
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• Title not available (Why is that?)
• A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
• Erratum to: Dependence properties of dynamic credit risk models
• Factor copula model for portfolio credit risk
• CIID frailty models and implied copulas
• A typical copula is singular

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