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

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
Owner only: item control page
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