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My bibliography Save this articleModelling cascading effects for systemic risk: Properties of the Freund copula
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DOI: 10.1515/demo-2019-0002
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References listed on IDEAS
- Fan Yu, 2007. "Correlated Defaults In Intensity‐Based Models," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 155-173, April.
- Georg Ch. Pflug & Alois Pichler, 2018. "Systemic risk and copula models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 465-483, June.
- Georg Ch Pflug & Werner Römisch, 2007. "Modeling, Measuring and Managing Risk," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6478, July.
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Keywords
dependent lifetime models; upper orthant order; systemic risk; 60E05; 62E10;All these keywords.
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