A remark on credit risk models and copula
A remark on credit risk models and copula
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DOI：
10.1007/978-4-431-54114-1_3
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发表时间：
2012
期刊：
影响因子：
--
通讯作者：
S. Kusuoka;Takenobu Nakashima
中科院分区：
文献类型：
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作者：
S. Kusuoka;Takenobu Nakashima
有限参数Copula模型被广泛用于描述违约时间的联合分布。但目前尚不清楚这些copula模型是否是动态一致的。证明了在有限参数Copula函数空间中，动态相容且满足某些技术正则性条件的Copula模型集是Baire意义下的第一类Copula函数集.
Copula models with finite parameters are widely used to describe the joint distribution of default times. But it is not clear whether these copula models are dynamically consistent. The authors show that the set of copula models that are dynamically consistent and satisfy some technical regularity conditions, is a set of the first category in the Baire sense in a certain space of copula functions with finite parameters.