Default Probability Estimation via Pair Copula Constructions
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- Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
- Luciana Dalla Valle & Maria Elena De Giuli & Claudia Tarantola & Claudio Manelli, 2014. "Default Probability Estimation via Pair Copula Constructions," Papers 1405.1309, arXiv.org, revised Aug 2015.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Masahiko Egami & Rusudan Kevkhishvili, 2016. "An Analysis of Simultaneous Company Defaults Using a Shot Noise Process," Discussion papers e-16-001, Graduate School of Economics , Kyoto University.
- Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-15, October.
- repec:eee:ejores:v:269:y:2018:i:3:p:1107-1121 is not listed on IDEAS
- repec:kap:regeco:v:53:y:2018:i:1:d:10.1007_s11149-017-9340-z is not listed on IDEAS
- repec:eee:jbfina:v:80:y:2017:i:c:p:135-161 is not listed on IDEAS
More about this item
KeywordsBayesian analysis; Pair Copula; Default Risk; Multivariate Contingent Claim; Markov Chain Monte Carlo; Vines.;
- E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-28 (All new papers)
- NEP-ECM-2013-09-28 (Econometrics)
- NEP-RMG-2013-09-28 (Risk Management)
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