Limiting dependence structures for tail events, with applications to credit derivatives

Journal of Applied Probability

Volumn 43, Issue 2, 2006, Pages 563-586

  Charpentier, Arthur ^a   Juri, Alessandro ^b  

^a CREST   (France)

^b Union Bank of Switzerland   (Switzerland)

Author keywords

Copula; Credit risk; Dependent defaults; Dependent risks; Extreme value theory; Regular variation; Tail dependence

Indexed keywords

EID: 33845306279     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1152413742     Document Type: Article

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