Ӧ�ø���ͳ�� 2011, 27(4) 369-379 DOI:      ISSN: 1001-4268 CN: 31-1256

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������Ҫ�о���������÷����еij��÷���: ΥԼ����Ե�Copula����.
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Applications of Copula Theory in Credit Risk
Liang Gechun,Ren Xuemin
Tongji University Department of Mathematics Institute of Risk Management
Abstract:

Credit risk theory has become one of the
cutting edges in modern finance over the past few years. We
investigate into one of the important issues amongst portfolio's
credit risk: Copula's applications in correlated default. We
discover the relationship amongst Copula and other tools for the
correlated default, such as structural models and reduced form
models. Additionally, different from Lando (1998), we present
another method and proof for the calculation of default probability
of the single firm.

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