A copula-based model of the term structure of CDO tranches

Applied Quantitative Finance: Second Edition

Volumn , Issue , 2008, Pages 69-81

  Cherubini, Umberto ^a   Mulinacci, Sabrina ^a   Romagnoli, Silvia ^a  

^a UNIVERSITY OF BOLOGNA   (Italy)

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Indexed keywords

EID: 78649931575     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/978-3-540-69179-2_3     Document Type: Chapter

References (12)

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3. Cherubini, U., Luciano, E. and Vecchiato, W. (2004). Copula Methods in Finance, John Wiley Finance Series, Chichester, U. K.
4. Cherubini, U. and Romagnoli, S. (2007). The Dependence Structure of Running Maxima and Minima: Theoretical Results and Option Pricing Application, Working Paper, University of Bologna.
5. Darsow, W. F., Nguyen, B. and Olsen, E. T. (1992). Copulas and Markov Processes, Illinois Journal of Mathematics, 36:600-642.
6. Gagliardini, P., and Gourieroux, C. (2005). An Efficient Non Parametric Estimator For Models With Non Linear Dependence, Journal of Econometrics, 137:189-229.
7. Gregory, J. and Laurent, J. P. (2005). Basket default swaps, CDOs and factor copulas, Journal of Risk, 7(4):103-122.
8. Ibragimov, R. (2005). Copula based characterization and modeling for time series, Harvard Institute of Economic Research, Discussion paper n. 2094.
9. Li, D. (2000). On default correlation: a copula function approach, Journal of Fixed Income, 9:43-54.
10. Nelsen, R. (2006), Introduction to Copulas, Springer Verlag.
11. Schmitz, V. (2003). Copulas and Stochastic Processes, Ph. D. dissertation, Aachen University.
12. Vasicek, O. A. (1991). Limiting Loan Loss Distribution, KMV Corporation working paper.