Checking for asymmetric default dependence in a credit card portfolio: A copula approach-Reference-Cited by-同舟云学术

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Checking for asymmetric default dependence in a credit card portfolio: A copula approach

Published:2011-09 Issue:4 Volume:18 Page:728-742
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Crook Jonathan,Moreira Fernando

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference34 articles.

1. International asset allocation with regime shifts;Ang;Rev. Financ. Stud.,2002

2. Copula goodness-of-fit testing: an overview and power comparison;Berg;Eur. J. Finance,2009

3. Copula Methods in Finance;Cherubini,2004

4. Correlated default processes: a criterion-based copula approach;Das,2006

5. The grouped t-copula with an application to credit risk;Daul;RISK,2003

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1. Optimal look-back period for adequate and less procyclical credit capital forecasts;Applied Economics;2021-08-23

2. Financial contagion across G10 stock markets: A study during major crises;International Journal of Finance & Economics;2020-08-07

3. Mapping conditional scenarios for knowledge structuring in (tail) dependence elicitation;Journal of the Operational Research Society;2020-02-06

4. Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula;International Review of Financial Analysis;2019-11

5. Financial contagion across major stock markets: A study during crisis episodes;The North American Journal of Economics and Finance;2019-04

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