State dependent correlations in the Vasicek default model
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Publication:830304
DOI10.1515/DEMO-2020-0017zbMATH Open1460.60013OpenAlexW3118149618MaRDI QIDQ830304FDOQ830304
Publication date: 7 May 2021
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2020-0017
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- scientific article; zbMATH DE number 850209
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Distribution theory (60E99)
Cites Work
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- Testing Statistical Hypotheses
- The nontruncated marginal of a truncated bivariate normal distribution
- REGULATORY CAPITAL MODELING FOR CREDIT RISK
- The crash-NIG factor model
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
- PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
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