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Title:

Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications

Document type:
Zeitschriftenaufsatz
Author(s):
Bernhart, G.; Escobar Anel, M.; Mai, J.-F.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
-
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:
2
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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