Cossin Didier

Didier Cossin

Information about the author Didier Cossin will soon be added to the site.
Found 2 papers in total
A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula
A theoretical argument why the t-copula explains credit risk contagion better than the Gaussian copula
2010
One of the key questions in credit dependence modelling is the specfication of the...
Credit risk in a network economy
Credit risk in a network economy
2007
We develop a structural model of credit risk in a network economy, where any firm can...
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