Credit risk dependence modeling with dynamic copula: an application to CDO tranches

DOI10.1016/S0731-9053(08)22004-9MaRDI QIDQ3572010zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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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(24)

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• A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
• scientific article; zbMATH DE number 6262816 (Why is no real title available?)
• 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
• Are financial ratios relevant for trading credit risk? Evidence from the CDS market
• Pricing CDS index tranches under thinning-dependence structure with regime switching
• 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
• Modeling defaults with nested Archimedean copulas
• Empirical copulas for CDO tranche pricing using relative entropy
• 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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