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Copulas, credit portfolios, and the broken heart syndrome

Author

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  • Puccetti Giovanni

    (Dipartimento di Economia, Management e Metodi Quantitativi, Università di Milano, Italy)

  • Scherer Matthias

    (Lehrstuhl für Finanzmathematik, Technische Universität München, Germany)

Abstract

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Suggested Citation

  • Puccetti Giovanni & Scherer Matthias, 2018. "Copulas, credit portfolios, and the broken heart syndrome," Dependence Modeling, De Gruyter, vol. 6(1), pages 114-130, June.
    • Handle: RePEc:vrs:demode:v:6:y:2018:i:1:p:114-130:n:7
    DOI: 10.1515/demo-2018-0007
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2017. "My introduction to copulas: An interview with Roger Nelsen," Dependence Modeling, De Gruyter, vol. 5(1), pages 88-98, January.
    3. Li, David X & Turtle, H J, 2000. "Semiparametric ARCH Models: An Estimating Function Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 174-186, April.
    4. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    5. Robert A. Jarrow & Stuart M. Turnbull, 2008. "Pricing Derivatives on Financial Securities Subject to Credit Risk," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409, World Scientific Publishing Co. Pte. Ltd..
    6. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    7. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    8. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias, 2015. "Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-12, May.
    9. Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Oct), pages 71-82.
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    Citations

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    Cited by:

    1. Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
    2. Metzler A., 2020. "State dependent correlations in the Vasicek default model," Dependence Modeling, De Gruyter, vol. 8(1), pages 298-329, January.
    3. Genest Christian & Scherer Matthias, 2020. "Insurance applications of dependence modeling: An interview with Edward (Jed) Frees," Dependence Modeling, De Gruyter, vol. 8(1), pages 93-106, January.
    4. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    5. Genest Christian & Scherer Matthias, 2020. "Insurance applications of dependence modeling: An interview with Edward (Jed) Frees," Dependence Modeling, De Gruyter, vol. 8(1), pages 93-106, January.
    6. Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021. "ESG, Risk, and (Tail) Dependence," Papers 2105.07248, arXiv.org, revised Nov 2021.

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