Default models based on scale mixtures of Marshall-Olkin copulas: Properties and applications

Metrika

Volumn 76, Issue 2, 2013, Pages 179-203

  Bernhart, German ^a   Escobar Anel, Marcos ^b   Mai, Jan Frederik ^c   Scherer, Matthias ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

^b RYERSON UNIVERSITY   (Canada)

^c Assenagon Credit Management GmbH   (Germany)

Author keywords

CDO pricing; Hierarchical copula; Portfolio default model; Portfolio loss distribution; Scale mixture of Marshall Olkin copulas

Indexed keywords

EID: 84872951726     PISSN: 00261335     EISSN: 1435926X     Source Type: Journal    
DOI: 10.1007/s00184-012-0382-z     Document Type: Article

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