Copula-Based Default Dependence Modelling: Where Do We Stand?
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Keywordsdefault dependence; copula functions; risk neutral versus historical dependence;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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