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Titel:

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

Dokumenttyp:
Buchbeitrag
Autor(en):
Mai, J.-F.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
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,...     »
Buchtitel:
Topics in Statistical Simulation
Intellectual Contribution:
Discipline-based Research
Verlag / Institution:
Springer
Verlagsort:
New York
Jahr:
2014
Monat:
May
Serientitel:
Springer Proceedings in Mathematics & Statistics
Serienbandnummer:
114
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
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