Copula dynamics in CDOs

DOI10.1080/14697688.2013.847280MaRDI QIDQ5245912zbMATH OpenOpenAlexFDO

Authors Barbara Choroś-Tomczyk, Wolfgang K. Härdle, L. Overbeck

Publication date 16 April 2015

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.847280

zbMATH Keywords

CDOcopulaimplied correlationsmultivariate distributionsvalue-at-risk

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Recommendations

• A Copula-Based Model of the Term Structure of CDO Tranches
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• Correlation smile matching for collateralized debt obligation tranches with -stable distributions and fitted Archimedean copula models
• A CDO pricing model based on the mixture copula
• The market model of CDO spreads

Cites work

• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Dynamic CDO term structure modeling
• Dynamic hedging of portfolio credit derivatives
• Goodness-of-fit tests for copulas: A review and a power study

Cited in

(18)

• Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• A semiparametric factor model for CDO surfaces dynamics
• CDO tranche sensitivities in the Gaussian copula model
• A CDO pricing model based on the mixture copula
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• CDO pricing with nested Archimedean copulas
• A research of default correlation in collateralized debt obligation pricing
• Correlation smile matching for collateralized debt obligation tranches with -stable distributions and fitted Archimedean copula models
• The market model of CDO spreads
• A Copula-Based Model of the Term Structure of CDO Tranches
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• The crash-NIG factor model
• Empirical copulas for CDO tranche pricing using relative entropy
• On the term structure of loss distributions: a forward model approach
• Dynamic dependence and diversification in corporate credit
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
• Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

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