CDO pricing with nested Archimedean copulas
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Cites work
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- Families of Multivariate Distributions
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On the simultaneous associativity of F(x,y) and x+y-F(x,y)
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
Cited in
(48)- The infinite extendibility problem for exchangeable real-valued random vectors
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks
- Constructing hierarchical archimedean copulas with Lévy subordinators
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Pairwise and global dependence in trivariate copula models
- Pricing distressed CDOs with stochastic recovery
- Hierarchical Archimax copulas
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Dependence modeling in non-life insurance using the Bernstein copula
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Modeling credit portfolio derivatives, including both a default and a prepayment feature
- Extending the intensity model with joint defaults to incorporate the lasting effects from common credit events
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Hierarchical Kendall copulas: properties and inference
- Pricing CDS index tranches under thinning-dependence structure with regime switching
- Risk management of stock portfolios with jumps at exogenous default events
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas
- A compendium of copulas
- Spatial tail dependence and survival stability in a class of Archimedean copulas
- COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
- Stochastic increase in CDS and CDO portfolio premiums
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
- Copulae: an overview and recent developments
- Multivariate hierarchical copulas with shocks
- Dependent defaults and losses with factor copula models
- Right-truncated Archimedean and related copulas
- Copula sensitivity analysis for portfolio credit derivatives
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions
- Modeling defaults with nested Archimedean copulas
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- A generalization of Archimedean and Marshall-Olkin copulas family
- Penalized estimation of hierarchical Archimedean copula
- Modeling portfolio loss dependence using Fréchet distribution and nested Clayton copulas
- Optimal bespoke CDO design via NSGA-II
- Comments on: Inference in multivariate Archimedean copula models
- A generalized contagion credit risk model with application in pricing CDS index tranche
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- A review of copula models for economic time series
- Efficiently sampling nested Archimedean copulas
- Pricing kth realization derivatives and collateralized debt obligation with multivariate Fréchet copula
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- Inference for overparametrized hierarchical Archimedean copulas
- Dependence structure of market states
- A CDO pricing model based on the mixture copula
- Estimating Archimedean copulas in high dimensions
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