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A new family of modified Gaussian copulas for market consistent valuation of government guarantees

Published Online: 2022-10-25

Published Print: 2024-07

Authors

Cerqueti, Roy https://orcid.org/0000-0002-1871-7371
Cesarone, Francesco https://orcid.org/0000-0003-2326-4204
Heusch, Maria C.

Mottura, Carlo D.
Funding

Funding for this research was provided by:

Università degli Studi di Roma La Sapienza
License Information

Text and Data Mining valid from 2022-10-25

Version of Record valid from 2022-10-25
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Article History

Received: 30 August 2021

Accepted: 5 October 2022

First Online: 25 October 2022

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