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Patton, A. J. (2009). Copula-Based Models for Financial Time Series. In Handbook of Financial Time Series. Berlin, Heidelberg: Springer.

has been cited by the following article:

• TITLE: Estimation of Default Risk Based on KMV Model—An Empirical Study for Chinese Real Estate Companies

  AUTHORS: Yan Chen, Guanglei Chu

  KEYWORDS: Credit Risk, Default Correlation, KMV Model, Time-Varying Copula, Real Estate Industry

  JOURNAL NAME: Journal of Financial Risk Management, Vol.3 No.2, June 12, 2014

  ABSTRACT: In this paper, we analyze the default risk of Chinese real estate companies with KMV model and time-varying copula. We collected the data of the listed real estate companies in Shanghai and Shenzhen Exchanges from 2007 to 2012 to calculate the default distance and correlations. Experiments results show that the default risk increases during the financial crisis. Moreover, results also indicate the default risk aggregation. The difference of default risk between the large size and small size companies is also examined in this research. Due to the high asset liability ratio, the large size companies face higher default risk than the small size companies. Finally, time-varying copula shows that the correlation between different-sized companies fluctuates severely during the financial crisis and then goes smoothly after the crisis.