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Medientyp:
E-Artikel
Titel:
Limiting dependence structures for tail events, with applications to credit derivatives
Beteiligte:
Charpentier, Arthur;
Juri, Alessandro
Erschienen:
Cambridge University Press (CUP), 2006
Erschienen in:
Journal of Applied Probability, 43 (2006) 2, Seite 563-586
Sprache:
Englisch
DOI:
10.1239/jap/1152413742
ISSN:
0021-9002;
1475-6072
Entstehung:
Anmerkungen:
Beschreibung:
Dependence structures for bivariate extremal events are analyzed using particular types of copula. Weak convergence results for copulas along the lines of the Pickands-Balkema-de Haan theorem provide limiting dependence structures for bivariate tail events. A characterization of these limiting copulas is also provided by means of invariance properties. The results obtained are applied to the credit risk area, where, for intensity-based default models, stress scenario dependence structures for widely traded products such as credit default swap baskets or first-to-default contract types are proposed.