Default probability estimation via pair copula constructions
dc.contributor.author | Dalla Valle, Luciana | |
dc.contributor.author | De Giuli, ME | |
dc.contributor.author | Tarantola, C | |
dc.contributor.author | Manelli, C | |
dc.date.accessioned | 2016-08-27T18:19:30Z | |
dc.date.accessioned | 2017-03-28T11:30:40Z | |
dc.date.available | 2016-08-27T18:19:30Z | |
dc.date.available | 2017-03-28T11:30:40Z | |
dc.date.issued | 2016-02 | |
dc.identifier.issn | 0377-2217 | |
dc.identifier.issn | 1872-6860 | |
dc.identifier.other | 0 | |
dc.identifier.uri | http://hdl.handle.net/10026.1/8700 | |
dc.description | publisher: Elsevier articletitle: Default probability estimation via pair copula constructions journaltitle: European Journal of Operational Research articlelink: http://dx.doi.org/10.1016/j.ejor.2015.08.026 content_type: article copyright: Copyright © 2015 Elsevier B.V. and Association of European Operational Research Societies (EURO) within the International Federation of Operational Research Societies (IFORS). All rights reserved. | |
dc.description.abstract |
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to assess the asset value, and to compute its default probability. The asset pricing function is expressed via a pair copula construction, and it is approximated via Monte Carlo simulations. The methodology is illustrated through an application to the analysis of both operative and defaulted firms. | |
dc.format.extent | 298-311 | |
dc.language | en | |
dc.language.iso | en | |
dc.publisher | Elsevier BV | |
dc.relation.replaces | http://hdl.handle.net/10026.1/5391 | |
dc.relation.replaces | 10026.1/5391 | |
dc.subject | Default probability | |
dc.subject | Markov chain Monte Carlo | |
dc.subject | Multivariate contingent claim | |
dc.subject | Pair copula | |
dc.subject | Vines | |
dc.title | Default probability estimation via pair copula constructions | |
dc.type | journal-article | |
dc.type | Journal Article | |
plymouth.author-url | https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000366536400026&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=11bb513d99f797142bcfeffcc58ea008 | |
plymouth.issue | 1 | |
plymouth.volume | 249 | |
plymouth.publication-status | Published | |
plymouth.journal | European Journal of Operational Research | |
dc.identifier.doi | 10.1016/j.ejor.2015.08.026 | |
plymouth.organisational-group | /Plymouth | |
plymouth.organisational-group | /Plymouth/Faculty of Science and Engineering | |
plymouth.organisational-group | /Plymouth/Faculty of Science and Engineering/School of Engineering, Computing and Mathematics | |
plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA | |
plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA/EXTENDED UoA 10 - Mathematical Sciences | |
plymouth.organisational-group | /Plymouth/REF 2021 Researchers by UoA/UoA10 Mathematical Sciences | |
plymouth.organisational-group | /Plymouth/Users by role | |
plymouth.organisational-group | /Plymouth/Users by role/Academics | |
dcterms.dateAccepted | 2015-08-28 | |
dc.identifier.eissn | 1872-6860 | |
dc.rights.embargoperiod | Not known | |
rioxxterms.versionofrecord | 10.1016/j.ejor.2015.08.026 | |
rioxxterms.licenseref.uri | http://www.rioxx.net/licenses/all-rights-reserved | |
rioxxterms.licenseref.startdate | 2016-02 | |
rioxxterms.type | Journal Article/Review |