Copula dynamics in CDOs

DOI10.1080/14697688.2013.847280zbMath1402.91765OpenAlexW2078309295MaRDI QIDQ5245912

Barbara Choroś-Tomczyk, Ludger Overbeck, Wolfgang Karl Härdle

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

copulavalue-at-riskmultivariate distributionsCDOimplied correlations

Mathematics Subject Classification ID

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

Related Items (1)

Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• DYNAMIC CDO TERM STRUCTURE MODELING
• Dynamic Hedging of Portfolio Credit Derivatives
• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING

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