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Copula functions and dependency concepts

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Part of the BestMasters book series (BEST)

Abstract

Modeling default of several obligors implies modeling the default probability of the single obligor as well as the dependence structure between obligors.

A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of isolating the description of such dependence structure.

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Copyright information

© Springer Fachmedien Wiesbaden 2014

Authors and Affiliations

  1. 1.ViennaAustria

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