Hamerle, Alfred and Rösch, Daniel (2005) Misspecified Copulas in Credit Risk Models: How Good is Gaussian? Journal of Risk 8 (1), pp. 41-58.
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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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| Item type: | Article |
|---|---|
| Date: | 2005 |
| Institutions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Interdisciplinary Subject Network: | Immobilien- und Kapitalmärkte |
| Dewey Decimal Classification: | 300 Social sciences > 330 Economics |
| Status: | Published |
| Refereed: | Yes, this version has been refereed |
| Created at the University of Regensburg: | Yes |
| Item ID: | 8223 |
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