Default probability estimation via pair copula constructions

L Dalla Valle; Giuli ME De; Claudia Tarantola; Claudio Manelli

doi:10.1016/j.ejor.2015.08.026

Default probability estimation via pair copula constructions

L Dalla Valle
, Giuli ME De
, Claudia Tarantola^*
, Claudio Manelli

^*Corresponding author for this work

School of Engineering, Computing and Mathematics

University of Pavia
List S.p.A.

Research output: Contribution to journal › Article › peer-review

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Original language	English
Pages (from-to)	298-311
Number of pages	0
Journal	European Journal of Operational Research
Volume	249
Issue number	1
DOIs	https://doi.org/10.1016/j.ejor.2015.08.026
Publication status	Published - Feb 2016

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10.1016/j.ejor.2015.08.026

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title = "Default probability estimation via pair copula constructions",

author = "\{Dalla Valle\}, L and De, \{Giuli ME\} and Claudia Tarantola and Claudio Manelli",

year = "2016",

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doi = "10.1016/j.ejor.2015.08.026",

language = "English",

volume = "249",

pages = "298--311",

journal = "European Journal of Operational Research",

issn = "0377-2217",

publisher = "Elsevier B.V.",

number = "1",

}

TY - JOUR

T1 - Default probability estimation via pair copula constructions

AU - Dalla Valle, L

AU - De, Giuli ME

AU - Tarantola, Claudia

AU - Manelli, Claudio

PY - 2016/2

Y1 - 2016/2

UR - https://pearl.plymouth.ac.uk/secam-research/1985/

U2 - 10.1016/j.ejor.2015.08.026

DO - 10.1016/j.ejor.2015.08.026

M3 - Article

SN - 0377-2217

VL - 249

SP - 298

EP - 311

JO - European Journal of Operational Research

JF - European Journal of Operational Research

IS - 1

ER -

Default probability estimation via pair copula constructions

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Default Probability Estimation via Pair Copula Constructions

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