Credit risk dependence modeling with dynamic copula: an application to CDO tranches
DOI10.1016/S0731-9053(08)22004-9zbMATH Open1189.91197OpenAlexW2492111130MaRDI QIDQ3572010FDOQ3572010
Authors: Daniel Totouom, Margaret Armstrong 
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)22004-9
Recommendations
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Portfolio theory (91G10) Credit risk (91G40)
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- A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
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- Hedging default risks of CDO tranches in non-homogeneous Markovian contagion models
- A semiparametric factor model for CDO surfaces dynamics
- Pricing synthetic CDO with multiparameter Archimedean copula models
- CDO pricing with nested Archimedean copulas
- Pricing CDS index tranches under thinning-dependence structure with regime switching
- Are financial ratios relevant for trading credit risk? Evidence from the CDS market
- Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models
- Valuation of a credit spread put option: the stable Paretian model with copulas
- Stochastic increase in CDS and CDO portfolio premiums
- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
- Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
- Dependent defaults and losses with factor copula models
- A remark on credit risk models and copula
- THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
- The static hedging of CDO tranche correlation risk
- Empirical copulas for CDO tranche pricing using relative entropy
- Modeling defaults with nested Archimedean copulas
- HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH
- Dynamic dependence and diversification in corporate credit
- Copula dynamics in CDOs
- A Copula-Based Model of the Term Structure of CDO Tranches
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