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 …

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 …

Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the copula can be … uniquely recovered from all bivariate margins. We derive the distribution of the copula value, which is particularly useful for …

Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different copulae to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings copula based multivariate …

conditions in different locations. For that purpose copula methods are employed that allow an adequate description of stochastic …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory. …