Factor copula model for portfolio credit risk

DOI10.1142/S0219024921500217MaRDI QIDQ5010074zbMATH OpenOpenAlexFDO

Authors

Publication date 24 August 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500217

zbMATH Keywords

collateralized debt obligationcredit derivativesfactor copula modelnormal tempered stable distribution

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

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Cited in

(6)

• Dependent defaults and losses with factor copula models
• Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
• NORTA for portfolio credit risk
• Incorporating multi-dimensional tail dependencies in the valuation of credit derivatives
• The crash-NIG factor model
• scientific article; zbMATH DE number 7387530 (Why is no real title available?)

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