A theoretical argument why the t -copula explains credit risk contagion better than the Gaussian copula.

Cossin, Didier; Schellhorn, Henry; Song, Nan; Tungsong, Satjaporn

Advances in Decision Sciences (2010)

  • Volume: 2010, page Article ID 546547, 29 p.-Article ID 546547, 29 p.
  • ISSN: 2090-3359

How to cite

top

Cossin, Didier, et al. "A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.." Advances in Decision Sciences 2010 (2010): Article ID 546547, 29 p.-Article ID 546547, 29 p.. <http://eudml.org/doc/225478>.

@article{Cossin2010,
author = {Cossin, Didier, Schellhorn, Henry, Song, Nan, Tungsong, Satjaporn},
journal = {Advances in Decision Sciences},
keywords = {credit risk; Student's -copula; Gaussian copula; Student’s -copula},
language = {eng},
pages = {Article ID 546547, 29 p.-Article ID 546547, 29 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.},
url = {http://eudml.org/doc/225478},
volume = {2010},
year = {2010},
}

TY - JOUR
AU - Cossin, Didier
AU - Schellhorn, Henry
AU - Song, Nan
AU - Tungsong, Satjaporn
TI - A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.
JO - Advances in Decision Sciences
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 546547, 29 p.
EP - Article ID 546547, 29 p.
LA - eng
KW - credit risk; Student's -copula; Gaussian copula; Student’s -copula
UR - http://eudml.org/doc/225478
ER -

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.