Arnaud-Guilhem Lamy

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Multivariate Survival Modelling: A Unified Approach with Copulas

Number of pages: 72 Posted: 26 Nov 2007
Credit Lyonnais Asset Management, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Amundi Asset Management
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Citation 28

Abstract:

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Survival copula, frailty model, ageing concepts, competing risks, failure time, order statistics, prepayment, credit risk measure, default mode, correlated defaults, risk-bucket capital charge, default digital put, credit default swap, first-to-default