Using distortions of copulas to price synthetic CDOs

Insurance: Mathematics and Economics

Volumn 42, Issue 3, 2008, Pages 903-908

  Crane, Glenis ^a   van der Hoek, John ^a  

^a UNIVERSITY OF ADELAIDE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 43849104915     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.10.007     Document Type: Article

References (9)

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2. Klement E., Mesiar R., and Pap E. Archimax copulas and invariance under transformations. C. R. Acad. Sci. Paris, Ser. 1 340 (2005) 755-758
3. Li, D., 2000. On default correlation: A copula function approach. Technical Report, Riskmetrics. A Riskmetrics Working Paper No. 99-07, Available at: www.riskmetrics.com
4. McGinty, L., Ahluwalia, R., 2004. A model for base correlation calculation. Technical Report, JP Morgan. Available at: www.math.nyu.edu
5. Morillas P. A method to obtain new copulas from a given one. Metrika 61 2 (2005) 169-184
6. Nelsen R. An Introduction to Copulas (2006), Springer, NY, USA
7. Pap, E., 2005. Copulas as aggregation operators. Working Paper, Department of Mathematics and Informatics, University of Novi Sad Trg Dositeja Obradovica, Serbia and Montenegro. Available at: www.bmf.hu/conferences/sisy2005/Pap3.pdf
8. van der Hoek, J., Sherris, M., 2006. A Flexible Approach to Multivariate Risk Modelling with a New Class of Copulas. Working paper presented at the 10th International Congress on Insurance: Mathematics and Economics in Leuven
9. van der Hoek, J., Sherris, M., 2007. On the Fitting and Estimation of Copulas for Multivariate Data. Working paper presented at the 11th International Congress on Insurance: Mathematics and Economics in Piraeus