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copula sign in to follow this
tail sign in to follow this
multivariate sign in to follow this
dependence sign in to follow this
t-copula sign in to follow this
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The Grouped t-Copula with an Application to Credit Risk
Year Of Publication: 2003
Month Of Publication: September
Pages: 7
Download Count: 305
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-2-2007
Publisher: Administrator
Summary
We describe a model that takes into account the tail dependence present in a large set of historicalrisk factor data using the modern concept of copulas. We extend the popular t-copula to obtain anew grouped t-copula which describes more accurately the dependence among risk factors of differentclasses. We explain how to estimate the parameters of the grouped t-copula and apply the method toa problem in credit risk management with a large number of risk factors. We measure the downsiderisk over one month for an internationally diversified credit portfolio and we observe that the newmodel gives different results to the t-copula and seems better able to capture the risk in a large setof risk factors.
Author(s)
Daul, Stephane Sign in to follow this author
De Giorgi, Enrico Sign in to follow this author
Lindskog, Filip Sign in to follow this author
McNeil, Alexander Sign in to follow this author
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