One More Model Risk When Using Gaussian Copula for Risk Management

Keywords

Copula (linguistics), Risk management, Model risk, Econometrics, Gaussian

References

• Modeling term structures of defaultable bondsDarrell Duffie, Kenneth J. Singleton — 1999
• On Default Correlation: A Copula Function ApproachDavid X. Li — 2000
• Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default CorrelationDamiano Brigo, Kyriakos Chourdakis — 2009
• Risk Management: Correlation and Dependence in Risk Management: Properties and PitfallsP. Embrechts, A. McNeil, D. Straumann — 2002

Cited by

• Dangers of Bilateral Counterparty Risk: The Fundamental Impact of Closeout ConventionsDamiano Brigo, Massimo Morini — 2010
• Impact of the First to Default Time on Bilateral CVADamiano Brigo, Cristin Buescu, Massimo Morini — 2011
• THE MAXIMAL PROBABILITY FOR A JOINT DEFAULT UNDER GIVEN MARGINALSMatthias Scherer — 2013
• Implementing Quantum Generative Adversarial Network (qGAN) and QCBM in FinanceSantanu Ganguly — 2023
• Hybrid Classical-Quantum Generative Algorithms for Financial Modelling and PredictionSantanu Ganguly, Xing Liang, Dimitrios Makris — 2025
• Version Early version , also known as preprint Link to publication record in King ' s Research PortalM. Morini — 2011

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