Credit Risk Value and Expected Deficit Applying Copulas

This paper presents an application of Copula Theory to an Ecuadorian consumer credit portfolio. To be applied, first, the marginal distributions of the default rate and the amount of exposure were estimated based on historical information; then copulas were built, and Sklar’s Theorem was applied thr...

• প্রধান লেখক: Andrade Cóndor, Alexander (author)
• বিন্যাস: article
• ভাষা: spa
• প্রকাশিত: 2021
• বিষয়গুলি: cópula; riesgo de crédito; valor en riesgo de crédito; déficit esperado; Copula; credit risk; value at credit risk; expected deficit; Cópula; risco de crédito; valor em risco de crédito
• অনলাইন ব্যবহার করুন: https://revistas.uasb.edu.ec/index.php/eg/article/view/2579