On Default Correlation: A Copula Function Approach

By David X. Li. 2000

1,411 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6e946c7547c4a7a7280289b3963bbd0010cd08c4

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Citations in the corpus

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE a (2006, background): “5 See Frees et al. (1996), Bouyé et al. (2000a, 2000b), Cherubini and Luciano (2001, 2002), Costinot et al. (2000), Li (2000), Fermanian and Scaillet (2003), Embrechts et al. (2001), Granger et al. (forthcoming), Frey and McNeil (2001), Rockinger and Jondeau (2001), Sancetta and Satchell (2001),…”
Granger-causality in quantiles between financial markets: Using copula approach ☆ (2014, background): “Some recent research includes Li (2000), Scaillet and Fermanian (2003), Embrechts, Hoing, and Juri (2003), Patton (2006a, b), Granger, Teräsvitra, and Patton (2006), and Chen and Fan (2006a, 2006b), among others.”
CORRELATED DEFAULT WITH INCOMPLETE INFORMATION (2004, background): “The first is the Clayton copula (16), which exhibits lower tail dependence (see Lindskog (2000), for example).”
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “Index [0, 3] [3, 6] [6, 9] [9, 12] [12, 22]”
Dependence patterns across financial markets: a mixed copula approach (2006, methodology): “Li (2000) uses a copula function to study the default correlations in credit risk models.”
Copula Processes (2010, methodology): “…Gaussian copula is deﬁned as where Φ ρ is a bivariate Gaussian cdf with correlation coeﬃcient ρ , and Φ is the standard univariate Gaussian cdf. Li [2] popularised the bivariate Gaussian copula, by showing how it could be used to study ﬁnancial risk and default correlation, using credit…”
Copula Theory: An Introduction (2010, background): “] 1998 RiskLab report [57] and at around the same time, the Li credit portfolio model [120].”
Measuring and Managing Credit Risk (2004, background): “Limited liability ensures that the downside is bounded. This mechanism, whereby a bank has incentive to select bad risks (“lemons” as Akerlof, 1970, puts it) and to reject good ones, is called adverse selection. This phenomenon tends to reduce the bank’s expected profit. The function that maps inter”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, methodology): “Archimedean copulas allow for a fast sampling algorithm, see Marshall and Olkin (1988), and, in contrast to elliptical copulas, are not limited to radial symmetry.”