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Document type:
Buchbeitrag 
Author(s):
Mai, J.-F.; Scherer, M; Zagst, R. 
Cooperation:
Title:
CIID Default Models and Implied Copulas 
Pages contribution:
201-230 
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...    »
 
Book title:
Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012 
Intellectual Contribution:
Discipline-based Research 
Publisher:
Springer Verlag 
Year:
2012 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Category:
research