Abstract
Copula models with finite parameters are widely used to describe the joint distribution of default times. But it is not clear whether these copula models are dynamically consistent. The authors show that the set of copula models that are dynamically consistent and satisfy some technical regularity conditions, is a set of the first category in the Baire sense in a certain space of copula functions with finite parameters.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
