A Copula-Based Model of the Term Structure of CDO Tranches

DOI10.1007/978-3-540-69179-2_3MaRDI QIDQ3542247zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Sabrina Mulinacci, Silvia Romagnoli

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_3

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(12)

• On the distribution of the (un)bounded sum of random variables
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• CDO tranche sensitivities in the Gaussian copula model
• A CDO pricing model based on the mixture copula
• CDO pricing with nested Archimedean copulas
• Correlation smile matching for collateralized debt obligation tranches with -stable distributions and fitted Archimedean copula models
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• The static hedging of CDO tranche correlation risk
• Empirical copulas for CDO tranche pricing using relative entropy
• On the term structure of loss distributions: a forward model approach
• Copula dynamics in CDOs

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