//-->
Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide, (2004)
The Pricing of Correlated Default Risk : Evidence from the Credit Derivatives Market
Tarashev, Nikola A., (2019)
An improved implied copula model and its application to the valuation of bespoke CDO tranches
Hull, John, (2010)
On default correlation : a Copula function approach
Li, David, (2000)
Semiparametric ARCH models : an estimating function approach
Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
Li, David, (2004)