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Overview of Credit Risk Models by Jesús Alcalá García is a document available to read on EtoBox.

What is Overview of Credit Risk Models about?

This document provides an overview of credit risk models, including latent variable models and mixture models for modeling dependent defaults. It discusses how the copula specification is critical for determining joint default probabilities and extreme credit risk. An example compares simulations of loss distributions under an exchangeable Gaussian copula versus a t-copula, finding that the t-copula exhibits significantly higher losses in the tails due to its greater tail dependence.

Author

Jesús Alcalá García

Language

EN