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dc.contributor.authorDalla Valle, L
dc.contributor.authorDe Giuli, ME
dc.contributor.authorTarantola, C
dc.contributor.authorManelli, C
dc.date.accessioned2016-08-27T18:19:30Z
dc.date.accessioned2017-03-28T11:30:40Z
dc.date.available2016-08-27T18:19:30Z
dc.date.available2017-03-28T11:30:40Z
dc.date.issued2016-02
dc.identifier.issn0377-2217
dc.identifier.issn1872-6860
dc.identifier.other0
dc.identifier.urihttp://hdl.handle.net/10026.1/8700
dc.descriptionpublisher: 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.extent298-311
dc.languageen
dc.language.isoen
dc.publisherElsevier BV
dc.relation.replaceshttp://hdl.handle.net/10026.1/5391
dc.relation.replaces10026.1/5391
dc.subjectDefault probability
dc.subjectMarkov chain Monte Carlo
dc.subjectMultivariate contingent claim
dc.subjectPair copula
dc.subjectVines
dc.titleDefault probability estimation via pair copula constructions
dc.typejournal-article
dc.typeArticle
plymouth.author-urlhttp://arxiv.org/abs/1405.1309v3
plymouth.issue1
plymouth.volume249
plymouth.publisher-urlhttp://dx.doi.org/10.1016/j.ejor.2015.08.026
plymouth.publication-statusPublished
plymouth.journalEuropean Journal of Operational Research
dc.identifier.doi10.1016/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.dateAccepted2015-08-28
dc.identifier.eissn1872-6860
dc.rights.embargoperiodNot known
rioxxterms.versionofrecord10.1016/j.ejor.2015.08.026
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserved
rioxxterms.licenseref.startdate2016-02
rioxxterms.typeJournal Article/Review


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