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Quantifying the impact of different copulas in a generalized CreditRisk + framework An empirical study

Kevin JakobMatthias Fischer — 2014

Dependence Modeling

Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit loss distribution...

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