Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

Jan Frederik Mai; Matthias Scherer

doi:10.1007/978-1-4939-2104-1_32

Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

Jan Frederik Mai
, Matthias Scherer

Associate Professorship of Risk and Insurance

XAIA Investment GmbH

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

6 Scopus citations

Original language	English
Title of host publication	Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation
Editors	V.B. Melas, Stefania Mignani, Paola Monari
Publisher	Springer New York LLC
Pages	333-341
Number of pages	9
ISBN (Electronic)	9781493921034
DOIs	https://doi.org/10.1007/978-1-4939-2104-1_32
State	Published - 2014
Event	7th International Workshop on Simulation - Rimini, Italy Duration: 21 May 2013 → 25 May 2013

Publication series

Name	Springer Proceedings in Mathematics and Statistics
Volume	114
ISSN (Print)	2194-1009
ISSN (Electronic)	2194-1017

Conference

Conference	7th International Workshop on Simulation
Country/Territory	Italy
City	Rimini
Period	21/05/13 → 25/05/13

Access to Document

10.1007/978-1-4939-2104-1_32

Cite this

Mai, J. F., & Scherer, M. (2014). Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals. In V. B. Melas, S. Mignani, & P. Monari (Eds.), Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation (pp. 333-341). (Springer Proceedings in Mathematics and Statistics; Vol. 114). Springer New York LLC. https://doi.org/10.1007/978-1-4939-2104-1_32

Mai, Jan Frederik ; Scherer, Matthias. / Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals. Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. editor / V.B. Melas ; Stefania Mignani ; Paola Monari. Springer New York LLC, 2014. pp. 333-341 (Springer Proceedings in Mathematics and Statistics).

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title = "Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals",

author = "Mai, \{Jan Frederik\} and Matthias Scherer",

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series = "Springer Proceedings in Mathematics and Statistics",

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Mai, JF & Scherer, M 2014, Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals. in VB Melas, S Mignani & P Monari (eds), Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. Springer Proceedings in Mathematics and Statistics, vol. 114, Springer New York LLC, pp. 333-341, 7th International Workshop on Simulation, Rimini, Italy, 21/05/13. https://doi.org/10.1007/978-1-4939-2104-1_32

Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals. / Mai, Jan Frederik; Scherer, Matthias.
Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. ed. / V.B. Melas; Stefania Mignani; Paola Monari. Springer New York LLC, 2014. p. 333-341 (Springer Proceedings in Mathematics and Statistics; Vol. 114).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Mai, Jan Frederik

AU - Scherer, Matthias

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DO - 10.1007/978-1-4939-2104-1_32

M3 - Conference contribution

AN - SCOPUS:84917681410

T3 - Springer Proceedings in Mathematics and Statistics

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EP - 341

BT - Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation

A2 - Melas, V.B.

A2 - Mignani, Stefania

A2 - Monari, Paola

PB - Springer New York LLC

T2 - 7th International Workshop on Simulation

Y2 - 21 May 2013 through 25 May 2013

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Mai JF, Scherer M. Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals. In Melas VB, Mignani S, Monari P, editors, Topics in Statistical Simulation - Research Papers from the 7th International Workshop on Statistical Simulation. Springer New York LLC. 2014. p. 333-341. (Springer Proceedings in Mathematics and Statistics). doi: 10.1007/978-1-4939-2104-1_32

Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals

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