Checking for asymmetric default dependence in a credit card portfolio: A copula approach
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- Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An Empirical Study on the Correlation Structure of Credit Spreads based on the Dynamic and Pair Copula Functions," China Finance Review International, Emerald Group Publishing, vol. 6(3), pages 284-303, August.
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KeywordsCredit risk Asymmetric dependence Consumer loans Copulas;
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