Extensions to the Gaussian copula: random recovery and random factor loadings
Top Cited Papers
- 1 January 2005
- journal article
- Published by Infopro Digital Services Limited in Journal of Credit Risk
- Vol. 1 (1) , 29-70
- https://doi.org/10.21314/jcr.2005.003
Abstract
This paper presents two new models of portfolio default loss that extend the standard Gaussian copula model yet preserve tractability..., Original Research, Credit riskKeywords
This publication has 0 references indexed in Scilit: