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Limit theorems in free probability theory II

100%

Chistyakov G., Götze F.

Open Mathematics

2008

tom 6

nr 1

87-117

Based on an analytical approach to the definition of multiplicative free convolution on probability measures on the nonnegative line ℝ+ and on the unit circle $$ \mathbb{T} $$ we prove analogs of limit theorems for nonidentically distributed random variables in classical Probability Theory.

Dependent defaults and losses with factor copula models

68%

Ackerer D., Vatter T.

Dependence Modeling

2017

tom 5

nr 1

375-399

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

Ograniczanie wyników

1 Dependence Modeling

1 Open Mathematics

1 Ackerer D.

1 Chistyakov G.

1 Götze F.

1 Vatter T.

1 2017

1 2008

Wyniki wyszukiwania

Limit theorems in free probability theory II

Dependent defaults and losses with factor copula models