Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps

Journal of Futures Markets

Volumn 24, Issue 1, 2004, Pages 37-70

  Meneguzzo, Davide ^a,b   Vecchiato, Walter ^a,b  

^a Veneto Banca ^*  (Italy)

^b Intesa Sanpaolo SpA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0348217899     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10110     Document Type: Article

References (45)

1. Arvanitis, A., & Gregory, J. (2001). Credit: The complete guide to pricing, hedging and risk management. Risk Books.
2. Cambanis, S., Huang, S., & Simons, G. (1981). On the theory of elliptically contoured distributions. Journal of Multivariate Analysis, 11, 368-385.
3. Cook, R. D., & Johnson, M. E. (1981). A family of distribution for modelling non-elliptically symmetric multivariate data. Journal of the Royal Statistical Society, B, 43, n.2, 210-218.
4. CreditMetrics Manual RiskMetrics Group. (2001). Available: http://www.riskmetrics.com.
5. Davidson, R., & MacKinnon, J. G. (1993). Estimation and inference in econometrics. New York: Oxford Press.
6. Davis, M., & Lo, V. (1999). Infectious defaults. Working paper, Imperial College, London.
7. Dehuevels, P. (1978). Caracterisation complete des lois extreme multivariees et de la convergence des types extreme. Paris: Institute De Statistique Universite de Paris.
8. Delianedis, G., & Geske, R. (1998). Credit risk and risk neutral default probabilities: Information about rating migrations and defaults. UCLA: The Anderson School.
9. Duffie, D., & Garleanu, N. (2001). Risk and valuation of collateralized debt obligations. Financial Analyst's Journal 57(1), 41-59.
10. Duffie, D. J., & Singleton, K. J. (1998). Modeling term structures of defaultable bonds. Review of Financial Studies 12, 687-720.
11. Duffie, D. J., & Singleton, K. J. (1999). Simulating correlated defaults. Palo Alto, CA: Stanford University.
12. Efron, B., & Tibshirani, R. J. (1993). Introduction to the Bootstap. London: Chapman & Hall.
13. Embrechts, P., Lindskog, F., & McNeil, A. J. (2001). Modeling dependence with copulas and applications to risk management. Zurich: ETH.
14. Embrechts, P., McNeil, A. J., & Straumann, D. (1999). Correlation and dependence in risk management. Zurich: ETH.
15. Fang, K. T., Kotz, S., & Ng, W. (1987). Symmetric multivariate and related distributions. London: Chapman & Hall.
16. Frees, E. W., & Valdez, E. A. (1998). Understanding relationships using copulas. North American Actuarial Journal, 1-25.
17. Frey, R., & McNeil, A. J. (2001). Modeling dependent defaults. Zurich: ETH.
18. Genest, C. (1987). Frank's family of bivariate distributions. Biometrika, 549-555.
19. Genest, C., & Rivest, L. (1993). Statistical inference procedure for bivariate archimedean copulas. Journal of the American Statistical Association, 1034-1043.
20. Geske, R. (1977). The valuation of corporate liabilities as compound options. Journal of Financial and Quantitative Analysis, 541-552.
21. Hull, J., & White, A. (2000). Valuing credit default swap: No counterparty default risk. Journal of Derivatives, 29-40.
22. Jarrow, R. A., & Yu, F. (2001). Counterparty risk and the pricing of defaultable securities. Journal of Finance, 56(5), 555-576.
23. Joe, H. (1997). Multivariate models and dependence concepts. London: Chapman & Hall.
24. Joe, H., & Hu, T. (1996). Multivariate distributions from mixtures of maxinfinitely divisible distributions. Journal of Multivariate Analysis, 57, 240-265.
25. J. P. Morgan. (2000). Risk. Guide to credit derivatives, privately provided.
26. Kimberling, C. H. (1974). A probabilistic interpretation of complete monotonicity. Aequationes Math., 10, 152-164.
27. Laurent, J.-P., & Gregory, J. (2002). Basket default swaps, CDO's and factor copulas. BNP Paribas and University of Lyon.
28. Lee, A. J. (1993). Generating random binary deviates having fixed marginal distributions and specified degree of association. The American Statistician, 209-215.
29. Leland, H. E. (1994). Corporate debt value, bond covenants and optimal capital structure. Journal of Finance, 1213-1252.
30. Li, D. X. (1998, November). Constructing a credit curve. Risk, Special report on Credit Risk, 40-44.
31. Li, D. X. (2000). On default correlation: A copula function approach. RiskMetrics Group.
32. Lindskog, F. (2000). Linear correlation estimation. RiskLab ETH.
33. Lindskog, F., McNeil, A., & Schmock, U. (2001). A note on Kendall's tau for elliptical distribution. Zurich: ETH.
34. Longstaff, F. A., & Schwartz, E. S. (1995). A simple approach to valuing risky fixed and floating rate debt. Journal of Finance, 789-819.
35. Madan, D., & Unal, H. (1999). Pricing the risks of default. Review of Derivatives Research, 121-160.
36. Mashal, R., & Zeevi, A. (2002). Beyond correlation: Extreme co-movements between financial assets. New York: Columbia Business School.
37. Marshall, A. W., & Olkin, I. (1988). Families of multivariate distributions. Journal of the American Statistical Association, 834-841.
38. Merton, R. (1974). On the pricing of corporate debt: The risk structure of interest rate. Journal of Finance, 449-470.
39. Nelsen, R. B. (1999). An introduction to copulas. New York: Springer-Verlag.
40. O'Kane, D. (2001). Credit derivatives explained. Lehman Brothers.
41. Price Waterhouse Coopers. (2002). Credit derivatives guide. Author.
42. Scarsini, M. (1984). On measures of concordance. Stochastica, 8, 201-218.
43. Schönbucher, P., & Schubert, D. (2001). Copula-dependent default risk in intensity models. Bonn, Germany: Universitat Bonn.
44. Schweizer, B., & Sklar, A. (1983). Probabilistic metric spaces. New York: North Holland.
45. Sklar, A. (1959). Functions de repartition a n dimensions et leurs marges. Paris: Publ. Inst. Statist. Universite de Paris, 229-231.