Risk magazine - Volume16/No10

Looking for the right copula

It is widely accepted that the probability of a company defaulting on its debt is linked to the value of its assets, which can be inferred (not necessarily in a unique way) from its equity price. The intellectual argument is long established, and…

Modelling venture capital funds

Modelling venture capital funds is a challenge and has become more important due to recentand upcoming securitisation deals, the need for efficient portfolio management, and Basel II.Here, Thomas Meyer and Tom Weidig summarise the issues both industry…

On the dependence of equity and asset returns

Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…

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