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Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model
credit risk expected shortfall extremal dependence geometric shortcut
2011/8/30
We consider the problem of simulating tail loss probabilities and expected losses conditioned on exceeding a large threshold (expected shortfall) for credit portfolios. Instead of the commonly used no...
Correlation breakdown, copula credit default models and arbitrage
Correlation breakdown copula credit default models arbitrage
2010/11/2
The recent ‘correlation breakdown’ in the modeling of credit default swaps,in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and a...