{"id":"https://openalex.org/W2042599638","doi":"https://doi.org/10.1155/2010/546547","title":"A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula","display_name":"A Theoretical Argument Why the t-Copula Explains Credit Risk Contagion Better than the Gaussian Copula","publication_year":2010,"publication_date":"2010-05-19","ids":{"openalex":"https://openalex.org/W2042599638","doi":"https://doi.org/10.1155/2010/546547","mag":"2042599638"},"language":"en","primary_location":{"id":"doi:10.1155/2010/546547","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2010/546547","pdf_url":"https://downloads.hindawi.com/archive/2010/546547.pdf","source":{"id":"https://openalex.org/S104792724","display_name":"Advances in Decision Sciences","issn_l":"2090-3359","issn":["2090-3359","2090-3367"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Decision Sciences","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://downloads.hindawi.com/archive/2010/546547.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5039926490","display_name":"Didier Cossin","orcid":"https://orcid.org/0000-0002-7799-4539"},"institutions":[{"id":"https://openalex.org/I108108428","display_name":"Thammasat University","ror":"https://ror.org/002yp7f20","country_code":"TH","type":"education","lineage":["https://openalex.org/I108108428"]},{"id":"https://openalex.org/I130154697","display_name":"International Institute for Management Development","ror":"https://ror.org/04mv5gg87","country_code":"CH","type":"education","lineage":["https://openalex.org/I130154697"]},{"id":"https://openalex.org/I136722135","display_name":"Claremont Graduate University","ror":"https://ror.org/0157pnt69","country_code":"US","type":"education","lineage":["https://openalex.org/I136722135"]}],"countries":["CH","TH","US"],"is_corresponding":false,"raw_author_name":"Didier Cossin","raw_affiliation_strings":["Claremont Graduate University, Claremont, CA 91711, USA","IMD, 1001 Lausanne, Switzerland","Thammasat University, Bangkok, Thailand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Claremont Graduate University, Claremont, CA 91711, USA","institution_ids":["https://openalex.org/I136722135"]},{"raw_affiliation_string":"IMD, 1001 Lausanne, Switzerland","institution_ids":["https://openalex.org/I130154697"]},{"raw_affiliation_string":"Thammasat University, Bangkok, Thailand","institution_ids":["https://openalex.org/I108108428"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5020551570","display_name":"Henry Schellhorn","orcid":"https://orcid.org/0000-0002-8322-9219"},"institutions":[{"id":"https://openalex.org/I108108428","display_name":"Thammasat University","ror":"https://ror.org/002yp7f20","country_code":"TH","type":"education","lineage":["https://openalex.org/I108108428"]},{"id":"https://openalex.org/I130154697","display_name":"International Institute for Management Development","ror":"https://ror.org/04mv5gg87","country_code":"CH","type":"education","lineage":["https://openalex.org/I130154697"]},{"id":"https://openalex.org/I136722135","display_name":"Claremont Graduate University","ror":"https://ror.org/0157pnt69","country_code":"US","type":"education","lineage":["https://openalex.org/I136722135"]}],"countries":["CH","TH","US"],"is_corresponding":true,"raw_author_name":"Henry Schellhorn","raw_affiliation_strings":["Claremont Graduate University, Claremont, CA 91711, USA","IMD, 1001 Lausanne, Switzerland","Thammasat University, Bangkok, Thailand"],"raw_orcid":"https://orcid.org/0000-0002-8322-9219","affiliations":[{"raw_affiliation_string":"Claremont Graduate University, Claremont, CA 91711, USA","institution_ids":["https://openalex.org/I136722135"]},{"raw_affiliation_string":"IMD, 1001 Lausanne, Switzerland","institution_ids":["https://openalex.org/I130154697"]},{"raw_affiliation_string":"Thammasat University, Bangkok, Thailand","institution_ids":["https://openalex.org/I108108428"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5059837195","display_name":"Nan Song","orcid":null},"institutions":[{"id":"https://openalex.org/I108108428","display_name":"Thammasat University","ror":"https://ror.org/002yp7f20","country_code":"TH","type":"education","lineage":["https://openalex.org/I108108428"]},{"id":"https://openalex.org/I130154697","display_name":"International Institute for Management Development","ror":"https://ror.org/04mv5gg87","country_code":"CH","type":"education","lineage":["https://openalex.org/I130154697"]},{"id":"https://openalex.org/I136722135","display_name":"Claremont Graduate University","ror":"https://ror.org/0157pnt69","country_code":"US","type":"education","lineage":["https://openalex.org/I136722135"]}],"countries":["CH","TH","US"],"is_corresponding":false,"raw_author_name":"Nan Song","raw_affiliation_strings":["Claremont Graduate University, Claremont, CA 91711, USA","IMD, 1001 Lausanne, Switzerland","Thammasat University, Bangkok, Thailand"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Claremont Graduate University, Claremont, CA 91711, USA","institution_ids":["https://openalex.org/I136722135"]},{"raw_affiliation_string":"IMD, 1001 Lausanne, Switzerland","institution_ids":["https://openalex.org/I130154697"]},{"raw_affiliation_string":"Thammasat University, Bangkok, Thailand","institution_ids":["https://openalex.org/I108108428"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066359998","display_name":"Sachapon Tungsong","orcid":"https://orcid.org/0000-0002-8404-8647"},"institutions":[{"id":"https://openalex.org/I108108428","display_name":"Thammasat University","ror":"https://ror.org/002yp7f20","country_code":"TH","type":"education","lineage":["https://openalex.org/I108108428"]},{"id":"https://openalex.org/I130154697","display_name":"International Institute for Management Development","ror":"https://ror.org/04mv5gg87","country_code":"CH","type":"education","lineage":["https://openalex.org/I130154697"]},{"id":"https://openalex.org/I136722135","display_name":"Claremont Graduate University","ror":"https://ror.org/0157pnt69","country_code":"US","type":"education","lineage":["https://openalex.org/I136722135"]}],"countries":["CH","TH","US"],"is_corresponding":false,"raw_author_name":"Satjaporn Tungsong","raw_affiliation_strings":["Claremont Graduate University, Claremont, CA 91711, USA","IMD, 1001 Lausanne, Switzerland","Thammasat University, Bangkok, Thailand"],"raw_orcid":"https://orcid.org/0000-0002-8404-8647","affiliations":[{"raw_affiliation_string":"Claremont Graduate University, Claremont, CA 91711, USA","institution_ids":["https://openalex.org/I136722135"]},{"raw_affiliation_string":"IMD, 1001 Lausanne, Switzerland","institution_ids":["https://openalex.org/I130154697"]},{"raw_affiliation_string":"Thammasat University, Bangkok, Thailand","institution_ids":["https://openalex.org/I108108428"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5020551570"],"corresponding_institution_ids":["https://openalex.org/I108108428","https://openalex.org/I130154697","https://openalex.org/I136722135"],"apc_list":{"value":200,"currency":"USD","value_usd":200},"apc_paid":{"value":200,"currency":"USD","value_usd":200},"fwci":1.1266,"has_fulltext":true,"cited_by_count":10,"citation_normalized_percentile":{"value":0.83105449,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2010","issue":null,"first_page":"1","last_page":"29"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9925000071525574,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.9847000241279602,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.8981586694717407},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6739765405654907},{"id":"https://openalex.org/keywords/inference","display_name":"Inference","score":0.59787917137146},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.540205717086792},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.48452919721603394},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.4602377414703369},{"id":"https://openalex.org/keywords/joint-probability-distribution","display_name":"Joint probability distribution","score":0.4333401620388031},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3132006525993347},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.26376068592071533},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.2544299364089966},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.21001264452934265},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.11122044920921326},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.10207316279411316}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.8981586694717407},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6739765405654907},{"id":"https://openalex.org/C2776214188","wikidata":"https://www.wikidata.org/wiki/Q408386","display_name":"Inference","level":2,"score":0.59787917137146},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.540205717086792},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.48452919721603394},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.4602377414703369},{"id":"https://openalex.org/C18653775","wikidata":"https://www.wikidata.org/wiki/Q1333358","display_name":"Joint probability distribution","level":2,"score":0.4333401620388031},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3132006525993347},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.26376068592071533},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2544299364089966},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.21001264452934265},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.11122044920921326},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.10207316279411316},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1155/2010/546547","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2010/546547","pdf_url":"https://downloads.hindawi.com/archive/2010/546547.pdf","source":{"id":"https://openalex.org/S104792724","display_name":"Advances in Decision Sciences","issn_l":"2090-3359","issn":["2090-3359","2090-3367"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Decision Sciences","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1155/2010/546547","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2010/546547","pdf_url":"https://downloads.hindawi.com/archive/2010/546547.pdf","source":{"id":"https://openalex.org/S104792724","display_name":"Advances in Decision Sciences","issn_l":"2090-3359","issn":["2090-3359","2090-3367"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869"],"host_organization_lineage_names":["Hindawi Publishing Corporation"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Advances in Decision Sciences","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2042599638.pdf","grobid_xml":"https://content.openalex.org/works/W2042599638.grobid-xml"},"referenced_works_count":14,"referenced_works":["https://openalex.org/W105785986","https://openalex.org/W1773976433","https://openalex.org/W1992105816","https://openalex.org/W2092507863","https://openalex.org/W2104723218","https://openalex.org/W2119436275","https://openalex.org/W2154044885","https://openalex.org/W2162689999","https://openalex.org/W2166481425","https://openalex.org/W2507039649","https://openalex.org/W2798180542","https://openalex.org/W3105477608","https://openalex.org/W3122023050","https://openalex.org/W4255375128"],"related_works":["https://openalex.org/W4254184784","https://openalex.org/W2057512905","https://openalex.org/W2368545092","https://openalex.org/W4206608468","https://openalex.org/W2076608411","https://openalex.org/W2353733188","https://openalex.org/W3094338031","https://openalex.org/W2792469005","https://openalex.org/W1967916041","https://openalex.org/W2027699618"],"abstract_inverted_index":{"One":[0],"of":[1,12,19,37,42,52,68,80,103,142,148],"the":[2,10,13,17,38,43,50,62,66,69,78,81,95,123,143,149,173,185,189],"key":[3],"questions":[4],"in":[5,49],"credit":[6,53,104,177,201],"dependence":[7,58],"modelling":[8],"is":[9,46,59,84,137,157],"specfication":[11],"copula":[14,70,82],"function":[15,71,83],"linking":[16],"marginals":[18,39,144],"default":[20],"variables.":[21],"Copulae":[22],"functions":[23],"are":[24,114,211],"important":[25,48],"because":[26],"they":[27],"allow":[28],"to":[29,64,73,129],"decouple":[30],"statistical":[31,197],"inference":[32,36,41],"into":[33],"two":[34],"parts:":[35],"and":[40,109,145,207],"dependence.":[44],"This":[45,136],"particularly":[47],"area":[51],"risk":[54],"where":[55],"information":[56],"on":[57],"scant.":[60],"Whereas":[61],"techniques":[63],"estimate":[65],"parameters":[67],"seem":[72],"be":[74],"fairly":[75],"well":[76],"established,":[77],"choice":[79],"still":[85],"an":[86],"open":[87],"problem.":[88],"We":[89,192],"find":[90],"out":[91],"by":[92,107,116,188,213],"simulation":[93],"that":[94,122],"t-copula":[96,124],"naturally":[97],"arises":[98],"from":[99],"a":[100,117,126,133,195],"structural":[101],"model":[102],"risk,":[105],"proposed":[106],"Cossin":[108],"Schellhorn":[110],"(2007).":[111],"If":[112],"revenues":[113],"linked":[115],"Gaussian":[118,134,167,190],"copula,":[119],"we":[120],"demonstrate":[121],"provides":[125],"better":[127],"fit":[128],"simulations":[130],"than":[131,166,184],"does":[132],"copula.":[135],"done":[138],"under":[139],"various":[140,146],"specfications":[141],"configurations":[147],"network.":[150],"Beyond":[151],"its":[152],"quantitative":[153],"importance,":[154],"this":[155],"result":[156],"qualitatively":[158],"intriguing.":[159],"Student's":[160],"t-copulae":[161],"induce":[162],"fatter":[163,181],"(joint)":[164],"tails":[165,183],"copulae":[168],"ceteris":[169],"paribus":[170],".":[171],"On":[172],"other":[174],"hand":[175],"observed":[176],"spreads":[178,202],"have":[179,203],"generally":[180],"joint":[182,205],"ones":[186],"implied":[187],"distribution.":[191],"thus":[193],"provide":[194],"new":[196],"explanation":[198],"why":[199],"(i)":[200],"fat":[204],"tails,":[206],"(ii)":[208],"financial":[209],"crises":[210],"amplified":[212],"network":[214],"effects.":[215]},"counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}