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Copula Phase Transitions
properties: – C(u) = 0, if u ∈ [0, 1]n has at least one component equal to 0. – C(u) = ui, if u ∈ [0, 1] n ... before time t is given by P (τ < t) = 1− e− R t 0 h(s)ds. We wish to describe the probability of defaulting ...- Authors: Michael A Ekhaus
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Technology & Applications>Analytics and informatics