Mohammad Seidpisheh

[ 1 ] - Analysis of Dependency Structure of Default Processes Based on Bayesian Copula

One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...