Invariance Properties in the Dynamic Gaussian Copula Model*
Based on Gaussian tail distribution estimates of independent interest, we study the mathematical properties of the default times (or any of their minima) in the dynamic Gaussian copula model. In particular, depending on the value of the correlation parameter ϱ in the model, the so-called invariance...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-06-01
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| Series: | ESAIM: Proceedings and Surveys |
| Subjects: | |
| Online Access: | https://doi.org/10.1051/proc/201756022 |