A Modification to the Copula Approach for Pricing Correlation-Dependent Credit Derivatives.

Chih-Wei Lee Cheng-Kun Kuo

Published in: JCIS (2006)

Keyphrases

higher order
random vectors
correlation coefficient
correlation analysis
credit scoring
dependence structure
data sets
data mining
maximum likelihood
joint distribution
credit card
semi parametric
credit risk
directional derivatives