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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schlösser, A.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
The Crash-NIG-Factor Copula Model: Modeling dependence in Credit Portfolios through the Crisis 
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 
Zeitschriftentitel:
European Actuarial Journal 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2013 
Band / Volume:
Seitenangaben Beitrag:
407-438 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein