Copulas and credit models

106 citations recorded by the source corpus.

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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002, background): “In Frey, McNeil, and Nyfeler (2001) it is shown that it is essentially the copula of the latent variables that drives the tail of the loss distribution and that it is possible to define models with identical default probabilities and latent variable correlations, but very different copulas.”
Dependent Credit Migrations (2006, background): “Frey et al. (2001) illustrate the substantial model risk in this context.”
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, unknown): “For example, see Frey et al. (2001) and Schönbucher (2003).”
Dependent defaults in models of portfolio credit risk (2003, background): “In previous papers (Frey, McNeil, and Nyfeler 2001, Frey and McNeil 2002) we have shown that portfolio credit models can be subject to considerable model risk.”