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Finance and Stochastics
Volumn 9, Issue 4, 2005, Pages 577-584
A note on the large homogeneous portfolio approximation with the Student-t copula
Author keywords

Copula functions; Large portfolios; Student t distribution
Indexed keywords

EID: 24144464305     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0142-7     Document Type: Article
Times cited : (50)
References (9)
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    • Devroye, L.: Random variate generation in one line of code. In: Charnes, J.M., Morrice, D.J., Brunner, D.T., Swain, J.J. (eds.) Proceedings of the 1996 Winter Simulation conference 1996
    • Proceedings of the 1996 Winter Simulation Conference 1996
    • Devroye, L.1
  • 3
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    • Modelling dependent defaults
    • ETH Zürich
    • Frey, R., McNeil, A.J.: Modelling dependent defaults. Working paper, ETH Zürich 2001
    • (2001) Working Paper
    • Frey, R.1    McNeil, A.J.2
  • 4
    • 0345778286 scopus 로고    scopus 로고
    • Basket default swaps, CDO's and factor copulas
    • University of Lyon
    • Laurent, J.-P., Gregory, J.: Basket default swaps, CDO's and factor copulas. Working paper, University of Lyon 2003
    • (2003) Working Paper
    • Laurent, J.-P.1    Gregory, J.2
  • 5
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    • Beyond correlation: Extreme co-movements between financial assets
    • Columbia University
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    • Mashal, R.1    Zeevi, A.2
  • 6
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    • On the pricing of corporate debt: The risk structure of interest rates
    • Merton, R.C.: On the pricing of corporate debt: the risk structure of interest rates. J. Finance 29, 449-470 (1974)
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    • Taken to the limit: Simple and not-so-simple loan loss distributions
    • Department of Statistics, University of Bonn
    • Schönbucher, P.J.: Taken to the limit: simple and not-so-simple loan loss distributions. Working Paper, Department of Statistics, University of Bonn 2002
    • (2002) Working Paper
    • Schönbucher, P.J.1
  • 8
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    • Probability of loss on loan portfolio
    • KMV Corporation
    • Vasiček, O.: Probability of loss on loan portfolio. Working paper, KMV Corporation 1987
    • (1987) Working Paper
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  • 9
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    • Loan portfolio value
    • Vasiček, O.: Loan portfolio value. Risk 15(12), 160-162 (2002)
    • (2002) Risk , vol.15 , Issue.12 , pp. 160-162
    • Vasiček, O.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.