Credit risk is the distribution of financial losses due to unexpected changes in the credit
quality of a counterparty in a financial agreement. We review the structural, reduced form …

'The book remains a valuable tool both for statisticians who are already familiar with the
theory of copulas and just need to develop sampling algorithms, and for practitioners who …

This paper presents two new models of portfolio default loss that extend the standard
Gaussian copula model yet preserve tractability and computational efficiency. In one …

We compare some popular CDO pricing models, related to the bottom-up approach.
Dependence between default times is modelled through Gaussian, stochastic correlation …

Portfolio risk forecasting has been and continues to be an active research field for both
academics and practitioners. Almost all institutional investment management firms use …

Abstract In 1976 Black and Cox proposed a structural model where an obligor defaults when
the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be …

The distributions of many financial quantities are well-known to have heavy tails, exhibit
skewness, and have other non-Gaussian characteristics. In this dissertation we study an …

This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank
loans. To this aim we introduce a model that takes into account the counterparty risk in a …

The diffusion of credit risk in a supply chain finance network can cause serious
consequences. Using the “1+ M+ N” complex network model with BA scale-free …

It is shown that exchangeable Marshall–Olkin survival copulas coincide with a parametric
family of copulas studied in [J.-F. Mai and M. Scherer, Lévy-Frailty copulas, J. Multivariate …