15787 8 86868 2 246714 document 86868 [Dependence Modeling] Modelling cascading effects for systemic risk Properties of the Freund copula.pdf application/pdf 9fb6629f31a97d29bf8a40632ef71a3a MD5 1812094 2019-03-12 06:55:02 https://pure.iiasa.ac.at/id/eprint/15787/1/%5BDependence%20Modeling%5D%20Modelling%20cascading%20effects%20for%20systemic%20risk%20Properties%20of%20the%20Freund%20copula.pdf 15787 1 1 application/pdf text en public cc_by_4

[Dependence Modeling] Modelling cascading effects for systemic risk Properties of the Freund copula.pdf

published 86870 1 246730 document 86870 indexcodes.txt text/x-c 8c746addae465137f24e6ce26fc66cfe MD5 8323 2019-03-12 07:05:01 https://pure.iiasa.ac.at/id/eprint/15787/2/indexcodes.txt 15787 2 2 text/x-c other Generate index codes conversion from text to indexcodes en public

indexcodes.txt

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/86868 86871 2 246731 document 86871 lightbox.jpg image/png 1e70e69961aed6c3308096844be2cc4e MD5 45476 2019-03-12 07:05:20 https://pure.iiasa.ac.at/id/eprint/15787/3/lightbox.jpg 15787 3 3 image/png other Thumbnails conversion from text to thumbnail_lightbox en public

lightbox.jpg

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/islightboxThumbnailVersionOf https://pure.iiasa.ac.at/id/document/86868 86872 2 246732 document 86872 preview.jpg image/png db6ac66b86c9c249247d9b70366217b0 MD5 18671 2019-03-12 07:05:21 https://pure.iiasa.ac.at/id/eprint/15787/4/preview.jpg 15787 4 4 image/png other Thumbnails conversion from text to thumbnail_preview en public

preview.jpg

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/ispreviewThumbnailVersionOf https://pure.iiasa.ac.at/id/document/86868 86873 2 246733 document 86873 medium.jpg image/png 4000863cfe51d22c5c5e536011eb03e9 MD5 5776 2019-03-12 07:05:22 https://pure.iiasa.ac.at/id/eprint/15787/5/medium.jpg 15787 5 5 image/png other Thumbnails conversion from text to thumbnail_medium en public

medium.jpg

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/ismediumThumbnailVersionOf https://pure.iiasa.ac.at/id/document/86868 86874 2 246734 document 86874 small.jpg image/png c7881e40a6c59998c9a68e961d7ebb4d MD5 1545 2019-03-12 07:05:23 https://pure.iiasa.ac.at/id/eprint/15787/6/small.jpg 15787 6 6 image/png other Thumbnails conversion from text to thumbnail_small en public

small.jpg

http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/86868 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/86868 archive 353 disk0/00/01/57/87 2019-03-12 06:57:01 2021-08-27 17:31:30 2019-03-12 06:57:01 article show Guzmics S. Pflug G. 1361 0000-0001-8215-3550 pub prog_risk dependent lifetime models; upper orthant order; systemic risk 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. 2019-02-19 published De Gruyter 10.1515/demo-2019-0002 229 public Dependence Modeling 7 1 24-44 TRUE 2300-2298 FALSE no info:eu-repo/semantics/article