Fast solution of the Gaussian copula model

DOI10.1016/S0731-9053(08)22001-3zbMATH Open1189.91204MaRDI QIDQ3572004FDOQ3572004

Authors: Bjorn Flesaker 

Publication date: 30 June 2010

Published in: Econometrics and Risk Management (Search for Journal in Brave)

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (5)

• CDO tranche sensitivities in the Gaussian copula model
• Quasi-exact numerical evaluation of synthetic collateralized debt obligations prices
• Efficient wavelets-based valuation of synthetic CDO tranches
• A collateralized loan's loss under a quadratic Gaussian default intensity process
• On the term structure of loss distributions: a forward model approach

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