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- W4244584122 abstract "Dependence structures for bivariate extremal events are analyzed using particular types of copula. Weak convergence results for copulas along the lines of the Pickands-Balkema-de Haan theorem provide limiting dependence structures for bivariate tail events. A characterization of these limiting copulas is also provided by means of invariance properties. The results obtained are applied to the credit risk area, where, for intensity-based default models, stress scenario dependence structures for widely traded products such as credit default swap baskets or first-to-default contract types are proposed." @default.
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- W4244584122 date "2006-06-01" @default.
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- W4244584122 title "Limiting dependence structures for tail events, with applications to credit derivatives" @default.
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- W4244584122 doi "https://doi.org/10.1017/s0021900200001832" @default.
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