Nematrian Reference Library
[this page | back links]
Set out below is information (held by the Nematrian website) on the reference you have selected
| Reference | Title | Link |
| Daul, S., De Giorgi, E., Lindskog, F. and McNeil, A. (2003) | Using the grouped t-copula | |
Abstract
"Student-t copula models are popular, but can be over-simplistic when used to describe credit portfolios where the risk factors are numerous or dissimilar. Here, Stéphane Daul, Enrico De Giorgi, Filip Lindskog and Alexander McNeil construct a new, generalised model – the ‘grouped t-copula’ - that clusters individual risk factors within various geographical sectors. The authors show how to estimate parameters for the grouped t-copula, and compare estimates for value-at-risk and expected shortfall with those given by other models." |
See
here to choose a new Category/Sub-Category or
here for a list of all references held by the Nematrian website. Please
contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.