Essays about: "Normal Copulas"

Showing result 11 - 11 of 11 essays containing the words Normal Copulas.

  1. 11. A Comparative Analysis of Hyperbolic Copulas Induced by a One Factor Lévy Model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Brunlid; [2007]
    Keywords : credit derivatives; copulas; CDO; CSO; loss distribution; hyperbolic distributions; iTraxx; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In the credit derivatives market, the observed default correlation smile, implied by the Gaussian copula, constitutes a major problem when we want to price bespoke CDO tranches. The industry standard approach for countering this dilemma is to use the concept of base correlation to try to estimate the ingoing default correlation parameters for non-standard tranche intervals. READ MORE