Misspecified Copulas in Credit Risk Models: How Good is Gaussian?
By Alfred Hamerle, D. Roesch. 2005
48 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/81d5573b8e9f61141eef24ce3faccf69d9ca6887
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Citations in the corpus
- Pricing CDOs with Correlated Variance Gamma Distributions (2006, background): “Using (11) and the LHP approximation we can deduce the loss distribution of the portfolio.”