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  • Search: subject:"One factor Gaussian copula"
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Year of publication
Subject
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Collateralized Debt Obligations 2 Basket Default Swaps 1 Clayton copula 1 Copula Function 1 Monte Carlo method 1 One Factor Gaussian Copula Model 1 One factor Gaussian copula 1 importance sampling 1 securitization 1 t-student copula 1 valuation 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Language
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Undetermined 2
Author
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Buzková, Petra 1 Fathi, Abid 1 Nader, Naifar 1 Teplý, Petr 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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MPRA Paper 1 Prague Economic Papers 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model
Buzková, Petra; Teplý, Petr - In: Prague Economic Papers 2012 (2012) 1, pp. 30-49
during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding …
Persistent link: https://www.econbiz.de/10011195583
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Copula based simulation procedures for pricing basket Credit Derivatives
Fathi, Abid; Nader, Naifar - Volkswirtschaftliche Fakultät, … - 2007
This paper deals with the impact of structure of dependency and the choice of procedures for rare-event simulation on the pricing of multi-name credit derivatives such as nth to default swap and Collateralized Debt Obligations (CDO). The correlation between names defaulting has an effect on the...
Persistent link: https://www.econbiz.de/10005622056
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