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Title:

CIID Default Models and Implied Copulas

Document type:
Buchbeitrag
Author(s):
Mai, J.-F.; Scherer, M; Zagst, R.
Cooperation:
-
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
DOI:
doi:10.1007/978-3-642-35407-6_10
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Category:
research
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