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Misspecified Copulas in Credit Risk Models: How Good is Gaussian?

Hamerle, Alfred ; Rösch, Daniel


Abstract

In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, the use of other copulas has recently been proposed in the area of credit risk for modeling loss distributions, particularly T copulas which lead to fatter tails ceteris paribus. As an amendment to recent research this paper shows some estimation results when the copula in a default-mode framework using a ...

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