Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
Copyright policy )Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
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- Imam Muhammad ibn Saud Islamic University Saudi Arabia
default risk, Kurtosis of equity return distribution, Archimedean copulas, Measures of association (correlation, canonical correlation, etc.), Applied Mathematics, iTraxx CDS index, nonparametric estimation, Computational Mathematics, Default risk, Nonparametric estimation, Statistical methods; risk measures, kurtosis of equity return distribution
default risk, Kurtosis of equity return distribution, Archimedean copulas, Measures of association (correlation, canonical correlation, etc.), Applied Mathematics, iTraxx CDS index, nonparametric estimation, Computational Mathematics, Default risk, Nonparametric estimation, Statistical methods; risk measures, kurtosis of equity return distribution
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