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...
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| Main Author: | |
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| Format: | article |
| Language: | spa |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://revistas.uasb.edu.ec/index.php/eg/article/view/2579 |
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