Checking for asymmetric default dependence in a credit card portfolio: A copula approach

Journal of Empirical Finance

Volumn 18, Issue 4, 2011, Pages 728-742

  Crook, Jonathan ^a   Moreira, Fernando ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

Asymmetric dependence; Consumer loans; Copulas; Credit risk

Indexed keywords

EID: 80052161962     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2011.05.005     Document Type: Article

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