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Title:

Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals

Document type:
Buchbeitrag
Author(s):
Mai, J.-F.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
Starting from two default times with given univariate distribution functions, the copula which maximizes the probability of a joint default can be computed in closed form. This result can be retrieved from Markov-chain theory, where it is known under the terminology "maximal coupling", but typically formulated without copulas. For inhomogeneous marginals the solution is not represented by the comonotonicity copula, opposed to a common modeling (mal-)practice in the financial industry. Moreover,...     »
Book title:
Topics in Statistical Simulation
Intellectual Contribution:
Discipline-based Research
Publisher:
Springer
Publisher address:
New York
Year:
2014
Month:
May
Bookseries title:
Springer Proceedings in Mathematics & Statistics
Bookseries volume:
114
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
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