the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities … dependency among the assets from the same group is described with the higher value of the copula parameter, otherwise the lower …

years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three … Archimedean copulae (HAC) whose construction allows for the fact that the risky assets of the CDO pool are chosen from six … different industry sectors. The dependence among the assets from the same group is specified with the higher value of the copula …

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks … mutual impact on credit spreads are investigated based on CDS spreads of the biggest derivative dealers in the market. By … including factors identified as determinants of CDS spreads to the set of explanatory variables such as equity return and equity …

show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the …'s contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market …

of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of … interconnectedness of default factors in a dynamic fashion, and forecast the CDS curves. The extracted level factors representing long … of the network DNS model indicates that the prediction on CDS curve requires network information. …

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables … multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high … proposed copula-based transformation is supported by the data and allows disentangling (multivariate) dynamics in higher order …

distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on …

global financial crisis. We investigate the evolution of the correlations using different copula models: the standard … Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

-dimensional hierarchical Archimedean copulae (HAC). A computationally effcient estimation procedure allows to recover the structure and the …