| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1515/demo-2019-0002 |
| Modelling cascading effects for systemic risk: Properties of the Freund copula. | |
| Guzmics S | |
| 发表日期 | 2019 |
| 出处 | Dependence Modeling 7 (1): 24-44 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents. We study in particular the pertaining bivariate copula function. This copula does not have a closed form and does not belong to the class of Archimedean copulas, either.We derive some monotonicity properties of it and show how to use this copula for modelling the cascade effect implicitly contained in observed CDS spreads. |
| 主题 | Risk & ; Resilience (RISK) |
| 关键词 | dependent lifetime models upper orthant order systemic risk |
| URL | http://pure.iiasa.ac.at/id/eprint/15787/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131556 |
| 推荐引用方式 GB/T 7714 | Guzmics S. Modelling cascading effects for systemic risk: Properties of the Freund copula.. 2019. |
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| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| %5BDependence%20Mode（1769KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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