On Default Correlation

Li, D. X. (2000). On Default Correlation: A Copula Function Approach. Journal of Fixed Income, 9(4), 43-54.

Type

Journal article

Intellectual base

Primary research

Year

2000

DOI

10.3905/jfi.2000.319253

Link

https://doi.org/10.3905/jfi.2000.319253

Cited from

systems_cybernetics

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Correlated Capacity Demand
  • Copula-based correlation modeling ports from credit-risk analysis to surge planning, the structural insight that independence underestimates joint-peak risk transferring intact.

    This sourceIntroduces the Gaussian copula for modeling correlated defaults, the canonical case of tail-correlation modeling that ports from credit risk to other shared-resource domains. (

Verification

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Registry ID ref:600b5ddc6810 · see in the full table