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A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula.
Didier Cossin
Henry Schellhorn
Nan Song
Satjaporn Tungsong
Published in:
Adv. Decis. Sci. (2010)
Keyphrases
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credit risk
gaussian mixture
credit risk evaluation
evaluation method
risk analysis
credit scoring
commercial banks
anomaly detection
listed companies
neural network
pattern recognition
long term
probabilistic model
evaluation model
financial data