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Dokumenttyp:
Buchbeitrag 
Autor(en):
Mai, J.-F.; Scherer, M; Zagst, R. 
Kooperation:
Titel:
CIID Default Models and Implied Copulas 
Abstract:
A unified stochastic framework for all portfolio default models with conditionally independent and identically distributed (CIID) default times is presented. Desirable statistical properties of dependent default times are introduced in an axiomatic manner and related to the unified framework. It is shown how commonly used models, stemming from quite different mathematical and economic motivations, can be translated into a multivariate frailty model. After a discussion of popular specifications i...    »
 
Seitenangaben Beitrag:
201-230 
Buchtitel:
Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012 
Intellectual Contribution:
Discipline-based Research 
Verlag / Institution:
Springer Verlag 
Jahr:
2012 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Kategorie:
research