Default Probability Estimation via Pair Copula Constructions

Luciana Dalla Valle; Maria Elena De Giuli; Claudia Tarantola; Claudio Manelli

doi:10.48550/arxiv.1405.1309

Default Probability Estimation via Pair Copula Constructions

Luciana Dalla Valle, Maria Elena De Giuli, Claudia Tarantola, Claudio Manelli

School of Engineering, Computing and Mathematics

Research output: Working paper / Preprint › Preprint

Original language	English
Number of pages	0
DOIs	https://doi.org/10.48550/arxiv.1405.1309
Publication status	Published - 6 May 2014

Keywords

38 Economics
3502 Banking
Finance and Investment
3801 Applied Economics
35 Commerce
Management
Tourism and Services

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10.48550/arxiv.1405.1309

1 Article

Default probability estimation via pair copula constructions
Dalla Valle, L., De, G. M., Tarantola, C. & Manelli, C., Feb 2016, In: European Journal of Operational Research. 249, 1, p. 298-311
Research output: Contribution to journal › Article › peer-review

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title = "Default Probability Estimation via Pair Copula Constructions",

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author = "\{Dalla Valle\}, Luciana and \{De Giuli\}, \{Maria Elena\} and Claudia Tarantola and Claudio Manelli",

year = "2014",

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AU - Dalla Valle, Luciana

AU - De Giuli, Maria Elena

AU - Tarantola, Claudia

AU - Manelli, Claudio

PY - 2014/5/6

Y1 - 2014/5/6

KW - 38 Economics

KW - 3502 Banking

KW - Finance and Investment

KW - 3801 Applied Economics

KW - 35 Commerce

KW - Management

KW - Tourism and Services

U2 - 10.48550/arxiv.1405.1309

DO - 10.48550/arxiv.1405.1309

M3 - Preprint

BT - Default Probability Estimation via Pair Copula Constructions

ER -

Default Probability Estimation via Pair Copula Constructions

Keywords

Access to Document

Research output

Default probability estimation via pair copula constructions

Cite this