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Title:

The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis

Document type:
Zeitschriftenaufsatz
Author(s):
Schlösser, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
Abstract:
It is well known that the one-factor copula models are very useful for risk management and measurement applications involving the generation of scenarios for the complete uni- verse of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is necessary to have a simple and fast model that is also consistent with the scenario simulation framework. In this paper we present three extensions of the NIG one- factor copula model which jointly have not been cons...     »
Intellectual Contribution:
Contribution to Practice
Journal title:
European Actuarial Journal
Journal listet in FT50 ranking:
nein
Year:
2013
Journal volume:
3
Pages contribution:
407-438
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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