✦ LIBER ✦
Copula sensitivity in collateralized debt obligations and basket default swaps
✍ Scribed by Davide Meneguzzo; Walter Vecchiato
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 351 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
Abstract
This article empirically faces the lively debate over the choice of an appropriate copula function to be used
to price and risk monitor some credit derivatives products. We consider the explicit pricing of collateralized
debt obligations and basket default swaps, and empirically examine these credit derivatives within the copula
framework. The results support in particular the choice of the T‐copula because of its greater
flexibility in capturing the tail dependence. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:37–70,
2004