A new MAGMAR(1,1) copula model for transformed sovereign rating counts shows strong clustering and outperforms standard models, but climate covariates mainly improve marginal predictions rather than dependence structure.
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Climate-Aware Copula Models for Sovereign Rating Migration Risk
A new MAGMAR(1,1) copula model for transformed sovereign rating counts shows strong clustering and outperforms standard models, but climate covariates mainly improve marginal predictions rather than dependence structure.