State dependent correlations in the Vasicek default model

DOI10.1515/DEMO-2020-0017MaRDI QIDQ830304zbMATH OpenOpenAlexFDO

Authors Adam Metzler

Publication date 7 May 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2020-0017

zbMATH Keywords

stochastic correlationVasicek modelone-factor Gaussian copularegulatory capital

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40) Distribution theory (60E99)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• 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
• Regulatory capital modeling for credit risk
• Testing Statistical Hypotheses
• The crash-NIG factor model
• The nontruncated marginal of a truncated bivariate normal distribution

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(2)

• Temporal correlation of defaults in subprime securitization
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES

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