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Dependence Modeling
(Mar 2014)
Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
Jakob Kevin,
Fischer Matthias
Affiliations
Jakob Kevin
Department of Economics, University of Augsburg
Fischer Matthias
Department of Statistics and Econometrics, University of Nuremberg
DOI
https://doi.org/10.2478/demo-2014-0001
Journal volume & issue
Vol. 2, no. 1
Abstract
Read online
No abstracts available.
Keywords
copula
credit risk
model risk
quantitative finance
creditrisk+
capital requirements
91g40
62h86
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