A theoretical argument why the $t$-copula explains credit risk contagion better than the Gaussian copula.

Cossin, Didier, et al. "A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.." Advances in Decision Sciences 2010 (2010): Article ID 546547, 29 p.-Article ID 546547, 29 p.. <http://eudml.org/doc/225478>.

@article{Cossin2010,
author = {Cossin, Didier, Schellhorn, Henry, Song, Nan, Tungsong, Satjaporn},
journal = {Advances in Decision Sciences},
keywords = {credit risk; Student's -copula; Gaussian copula; Student’s -copula},
language = {eng},
pages = {Article ID 546547, 29 p.-Article ID 546547, 29 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.},
url = {http://eudml.org/doc/225478},
volume = {2010},
year = {2010},
}

TY - JOUR
AU - Cossin, Didier
AU - Schellhorn, Henry
AU - Song, Nan
AU - Tungsong, Satjaporn
TI - A theoretical argument why the -copula explains credit risk contagion better than the Gaussian copula.
JO - Advances in Decision Sciences
PY - 2010
PB - Hindawi Publishing Corporation, New York
VL - 2010
SP - Article ID 546547, 29 p.
EP - Article ID 546547, 29 p.
LA - eng
KW - credit risk; Student's -copula; Gaussian copula; Student’s -copula
UR - http://eudml.org/doc/225478
ER -