Dependent defaults in models of portfolio credit risk

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Subfields: Finance

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Bayesian inference for multivariate copulas using pair-copula constructions. (2010, unknown): “There is one simple generalization for Archimedean copulas known as exchangeable Archimedean copulas (see Frey and McNeil (2003)).”
CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “For a discussion of these model risk issues we refer to Frey & McNeil (2003).”
Credit Cycles and Macro Fundamentals (2009, unknown): “This is in line with earlier empirical results, see for example Kavvathas (2001) and Das et al.”
Systematic Risk in Recovery Rates: An Empirical Analysis of Us Corporate Credit Exposures (2004, unknown): “4See e. g. Frey and McNeil (2003).”
Bayesian inference for generalized linear mixed models of portfolio credit risk (2007, methodology): “For a more in-depth treatment of Bernoulli mixture models see for instance Frey and McNeil (2003).”
Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings (2005, background): “While many copulas have been proposed for this purpose (see e.g. Schonbucher (2001)), the market standard copula is the Gaussian copula Li (2000) and its convenient Student t extension Frey and McNeil (2003).”