A hierarchical Archimedean copula for portfolio credit risk modelling
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- Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
- Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
- Yong Ma & Zhengjun Zhang & Weiguo Zhang & Weidong Xu, 2015. "Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 647-668, April.
- Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
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Keywordsportfolio credit risk; nested Archimedean copula; tail dependence; hierarchical dependence structure;
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-BAN-2011-12-13 (Banking)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-RMG-2011-12-13 (Risk Management)
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