42 citations · 163 across the 14 of their papers we have counts for
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q-fin.RM2011
Dependent default and recovery: MCMC study of downturn LGD credit risk model
Pavel V. Shevchenko, Xiaolin Luo
There is empirical evidence that recovery rates tend to go down just when the number of defaults goes up in economic downturns. This has to be taken into account in estimation of t…
q-fin.CP2011★ 9 cited
Bayesian Model Choice of Grouped t-copula
Xiaolin Luo, Pavel V. Shevchenko
One of the most popular copulas for modeling dependence structures is t-copula. Recently the grouped t-copula was generalized to allow each group to have one member only, so that a…