Default probability estimation via pair copula constructions

Authors

L Dalla Valle, School of Engineering, Computing and Mathematics
Giuli ME De
Claudia Tarantola, University of Pavia
Claudio Manelli, List S.p.A.

ORCID

• L Dalla Valle: 0000-0001-7506-5712

DOI Link

10.1016/j.ejor.2015.08.026

Publication Date

2016-01-01

Publication Title

European Journal of Operational Research

Volume

249

Issue

1

ISSN

0377-2217

Acceptance Date

2015-08-28

First Page

298

Last Page

311

Recommended Citation

Dalla Valle, L., De, G., Tarantola, C., & Manelli, C. (2016) 'Default probability estimation via pair copula constructions', European Journal of Operational Research, 249(1), pp. 298-311. Available at: 10.1016/j.ejor.2015.08.026