Checking for asymmetric default dependence in a credit card portfolio: A copula approach
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- Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
- Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
- Ming-Chu Chiang & I-Chun Tsai, 2016. "Ripple effect and contagious effect in the US regional housing markets," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 55-82, January.
- BenMim, Imen & BenSaïda, Ahmed, 2019. "Financial contagion across major stock markets: A study during crisis episodes," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 187-201.
- Ahmed BenSaïda & Houda Litimi, 2021. "Financial contagion across G10 stock markets: A study during major crises," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4798-4821, July.
- Changqing Luo & Mengzhen Li & Zisheng Ouyang, 2016. "An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions," China Finance Review International, Emerald Group Publishing Limited, vol. 6(3), pages 284-303, August.
- BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
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Keywords
Credit risk Asymmetric dependence Consumer loans Copulas;Statistics
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