Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
DOI10.1007/978-1-4939-2104-1_32zbMATH Open1328.62310OpenAlexW2275990674MaRDI QIDQ5261315FDOQ5261315
Jan-Frederik Mai, Matthias Scherer
Publication date: 3 July 2015
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4939-2104-1_32
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- Singular components of shock model copulas
- On the singular components of a copula
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- A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
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- Negative Basis Measurement: Finding the Holy Scale
- A family of transformed copulas with a singular component
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
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