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Document type:
Zeitschriftenaufsatz 
Author(s):
Bernhart, G.; Escobar Anel, M.; Mai, J.-F.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications 
Abstract:
We present a unification of the Archimedean and the Lévy-frailty copula model for portfolio default models. The new default model exhibits a copula known as scale mixture of Marshall-Olkin (SMMO) copulas and an investigation of the dependence structure reveals that desirable properties of both original models are combined, which allows for a wider range of dependence patterns, while the analytical tractability is retained. Furthermore, simultaneous defaults and default clustering are incorporate...    »
 
Keywords:
portfolio default model, scale mixture of Marshall-Olkin copula, hierarchical copula, portfolio loss distribution, CDO pricing 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Metrika 
Year:
2013 
Journal volume:
76 
Journal issue:
Pages contribution:
179-203 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Mission statement:
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