Modelling credit card exposure at default using vine copula quantile regression

DOI10.1016/J.EJOR.2023.05.016MaRDI QIDQ6168620zbMATH OpenFDO

Authors Suttisak Wattanawongwan, Christophe Mues, Ramin Okhrati, Taufiq Choudhry, Mee Chi So

Publication date 11 July 2023

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2023.05.016

zbMATH Keywords

credit cardsexposure at defaultquantile regressionrisk analysisvine copulas

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

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Cited in

(5)

• A new mixture model for the estimation of credit card exposure at default
• scientific article; zbMATH DE number 7387530 (Why is no real title available?)
• A credit default swap application by using quantile regression technique
• Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards
• Reliability assessment modeling of multi-component series systems considering phase-type shocks and multiple degradation pathways

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