Modelling credit default swap spreads by means of normal mixtures and copulas

DOI10.1080/1350486042000218420MaRDI QIDQ4673732zbMATH OpenOpenAlexFDO

Authors Marco Bee

Publication date 9 May 2005

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486042000218420

zbMATH Keywords

copulafinite mixture distributionsnon-parametric bootstrapcredit default swap spread

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cited in

(7)

• Investigation of the dependence structure in seismic hazard analysis: an application for Turkey
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• Modelling Australian interest rate swap spreads by mixture autoregressive conditional heteroscedastic processes
• Valuation of a credit spread put option: the stable Paretian model with copulas
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
• Default probability estimation via pair copula constructions
• The skewed t

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