Pricing and hedging credit derivatives with copulas

Economic Notes

Volumn 32, Issue 2, 2003, Pages 219-242

  Cherubini, Umberto ^a   Luciano, Elisa ^a  

^a Dept Statistics/Applied Mathematics ^*

Author keywords

[No Author keywords available]

Indexed keywords

CREDIT PROVISION; METHODOLOGY; PRICE DYNAMICS;

EID: 0141561997     PISSN: 03915026     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0300.00112     Document Type: Article

References (8)

1. D. BREEDEN - R. LITZENBERGER (1978), "Prices of State Contingent Claims Implicit in Option Prices", Journal of Business, 51, pp. 621-51.
2. U. CHERUBINI - E. LUCIANO (2002), "Bivariate Option Pricing with Copulas", Applied Mathematical Finance, 9(2), pp. 69-86.
3. P. EMBRECHTS - A. J. MCNEIL - D. STRAUMANN (1999), "Correlation and Dependency in Risk Management: Properties and Pitfalls", Department of Mathematik, ETHZ, Zurich, Working Paper.
4. J.-F. JOUANIN - G. RIBOULET - T. RONCALLI "Modelling Dependence for Credit Derivatives with Copulas", GRO, Credit Lyonnais, Paris, Working Paper.
5. L. X. LI (2000), "On Default Correlation: A Copula Function Approach", Journal of Fixed Income, March, pp. 43-54.
6. R. B. NELSEN (1999), An Introduction to Copulas, New York: Springer.
7. B. SCHWEIZER (1991), "Thirty Years of Copulas", in G. Dall'Aglio, S. Kotz and G. Salinetti (eds), Advances in Probability Distributions with Given Marginals, Dordrecht: Kluwer Academic Publishers.
8. P. SCHÖNBUCHER - D. SCHUBERT "Copula-dependent Default Risk in Intensity Models", Dept. of Statistics, Bonn University Working Paper.