Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis....
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| Format: | Article |
| Language: | English |
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Universiti Utara Malaysia
2012-09-01
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| Series: | The International Journal of Banking and Finance |
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| Online Access: | https://www.e-journal.uum.edu.my/index.php/ijbf/article/view/8455 |