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Guzmics, S. & Pflug, G. 
ORCID: https://orcid.org/0000-0001-8215-3550
(2019).
Modelling cascading effects for systemic risk: Properties of the Freund copula.
Dependence Modeling 7 (1) 24-44. 10.1515/demo-2019-0002.
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[Dependence Modeling] Modelling cascading effects for systemic risk Properties of the Freund copula.pdf - Published Version Available under License Creative Commons Attribution. Download (1MB) | Preview |
Abstract
We consider a dependent lifetime model for systemic risk, whose basic idea was for the first time presented by Freund. This model allows to model cascading effects of defaults for arbitrarily many economic agents. We study in particular the pertaining bivariate copula function. This copula does not have a closed form and does not belong to the class of Archimedean copulas, either.We derive some monotonicity properties of it and show how to use this copula for modelling the cascade effect implicitly contained in observed CDS spreads.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | dependent lifetime models; upper orthant order; systemic risk |
| Research Programs: | Risk & Resilience (RISK) |
| Depositing User: | Luke Kirwan |
| Date Deposited: | 12 Mar 2019 06:57 |
| Last Modified: | 27 Aug 2021 17:31 |
| URI: | https://pure.iiasa.ac.at/15787 |
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