22 citations · 45 across the 10 of their papers we have counts for
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q-fin.MF2016★ 3 cited
Dependent Defaults and Losses with Factor Copula Models
Damien Ackerer, Thibault Vatter
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models rem…
stat.ME2016
Generalized Additive Models for Pair-Copula Constructions
Thibault Vatter, Thomas Nagler
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing…