SOME RESULTS IN COPULAS AND CREDIT RISK MODELS

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HADDADI M.R.; AHMADIFARD R.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Seminar Paper

Paper Information

Seminar: SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS
Year:2016 | Issue:4

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Title

SOME RESULTS IN COPULAS AND CREDIT RISK MODELS

Author(s)

HADDADI M.R. | AHMADIFARD R. | Issue Writer Certificate

Keywords

COPULA FUNCTION

CORRELATION

DEPENDENCE STRUCTURE

PORTFOLIO RISK

Abstract

THE THEORY OF COPULAS IS KNOWN TO PROVIDE A USEFUL TOOL FOR MODELLING DEPENDENCE IN INTEGRATED RISK MANAGEMENT. THE APPROACHES TO RISK MEASUREMENT IN THE PAST FOCUSED ON MEASURING THE RISK OF INDIVIDUAL OBLIGOR AND THEN SUMMING THEM UP. IN RECENT YEARS, MORE ATTENTION IS PAID TO THE ASSESSMENT OF PORTFOLIO RISK. THIS PAPER IS AN EXTENSIVE EXAMINATION OF THE GAUSSIAN COPULA FOR DEFAULT CORRELATION. THE ACCURACY OF THE ASSUMPTIONS UNDERLYING THE GAUSSIAN COPULA MODEL. OUR GOAL IS TO SHOW THAT THE USE OF A COPULA FUNCTION DIFFERENT FROM THE GAUSSIAN COPULA CAN MODEL SUCH EXTREME EVENTS EFFECTIVELY.

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APA: Copy

HADDADI, M.R., & AHMADIFARD, R.. (2016). SOME RESULTS IN COPULAS AND CREDIT RISK MODELS. SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS. SID. https://sid.ir/paper/940339/en

Vancouver: Copy

HADDADI M.R., AHMADIFARD R.. SOME RESULTS IN COPULAS AND CREDIT RISK MODELS. 2016. Available from: https://sid.ir/paper/940339/en

IEEE: Copy

M.R. HADDADI, and R. AHMADIFARD, “SOME RESULTS IN COPULAS AND CREDIT RISK MODELS,” presented at the SEMINAR OF MATHEMATICS AND HUMANITIES, FINANCIAL MATHEMATICS. 2016, [Online]. Available: https://sid.ir/paper/940339/en

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