Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application
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References listed on IDEAS
- Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
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More about this item
KeywordsDistorted copula; random matrix; copula volume; hierarchical Archimedean copula; probability distribution of counting variable;
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