Concurrent credit portfolio losses

We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetr...

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Detalles Bibliográficos
Autores principales: Sicking, Joachim, Guhr, Thomas, Schäfer, Rudi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5806874/
https://www.ncbi.nlm.nih.gov/pubmed/29425246
http://dx.doi.org/10.1371/journal.pone.0190263

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5806874/
https://www.ncbi.nlm.nih.gov/pubmed/29425246
http://dx.doi.org/10.1371/journal.pone.0190263

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