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https://doi.org/10.1080/1331677X.2019.1629325

Modelling European sovereign default probabilities with copulas

Beata Szetela ; Department of Quantitative Methods, IgnacyŁukasiewicz Rzeszow University of Technology, Rzeszow, Poland
Grzegorz Mentel ; Department of Quantitative Methods, IgnacyŁukasiewicz Rzeszow University of Technology, Rzeszow, Poland
Jacek Brożyna ; Department of Quantitative Methods, IgnacyŁukasiewicz Rzeszow University of Technology, Rzeszow, Poland

Puni tekst: engleski, pdf (1 MB) str. 1716-1726 preuzimanja: 83* citiraj
APA 6th Edition
Szetela, B., Mentel, G. i Brożyna, J. (2019). Modelling European sovereign default probabilities with copulas. Economic research - Ekonomska istraživanja, 32 (1), 1716-1726. https://doi.org/10.1080/1331677X.2019.1629325
MLA 8th Edition
Szetela, Beata, et al. "Modelling European sovereign default probabilities with copulas." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 1716-1726. https://doi.org/10.1080/1331677X.2019.1629325. Citirano 04.04.2020.
Chicago 17th Edition
Szetela, Beata, Grzegorz Mentel i Jacek Brożyna. "Modelling European sovereign default probabilities with copulas." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 1716-1726. https://doi.org/10.1080/1331677X.2019.1629325
Harvard
Szetela, B., Mentel, G., i Brożyna, J. (2019). 'Modelling European sovereign default probabilities with copulas', Economic research - Ekonomska istraživanja, 32(1), str. 1716-1726. https://doi.org/10.1080/1331677X.2019.1629325
Vancouver
Szetela B, Mentel G, Brożyna J. Modelling European sovereign default probabilities with copulas. Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 04.04.2020.];32(1):1716-1726. https://doi.org/10.1080/1331677X.2019.1629325
IEEE
B. Szetela, G. Mentel i J. Brożyna, "Modelling European sovereign default probabilities with copulas", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 1716-1726, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1629325

Sažetak
The goal of this article is to investigate a dependence among sovereign countries’risk of default. The analysis was based on data for 42 European countries during the period 1994–2013. Three models were used to calculate default probabilities: Li’s based on transition matrix and prudent unconditional and conditional on previous defaults estimation technique for low default portfolios. The relationship was analysed through the use of different types of copulas. The analysis has shown no regularity in a selection of the optimal copula. The results differ based on the model and rating grade combination used.

Ključne riječi
copula; default probability; risk; distribution

Hrčak ID: 228844

URI
https://hrcak.srce.hr/228844

Posjeta: 136 *