Default probability estimation via pair copula constructions

•We provide a methodology to accurately evaluate firm default probability.•Multivariate contingent claim model on balance sheet data for firm asset value.•Use of Bayesian parametric mixture models for vine-marginal modelling.•Asset and liability dependence structure is modelled via pair copula const...

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Veröffentlicht in:	European journal of operational research 2016-02, Vol.249 (1), p.298-311
Hauptverfasser:	Dalla Valle, Luciana, De Giuli, Maria Elena, Tarantola, Claudia, Manelli, Claudio
Format:	Artikel
Sprache:	eng
Schlagworte:	Default Default probability Estimating techniques Markov chain Monte Carlo Monte Carlo simulation Multivariate contingent claim Pair copula Probability Studies Vines
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