This paper presents a flexible new family of copula-based multivariate models designed for handling large numbers of variables (1) as random vectors in the static case or (2) as vector stochastic processes in the dynamic case. The family includes models with upper and lower tail dependence....

We have developed a new family of Archimedean copula processes for modeling the dynamic dependence between default times in a large portfolio of names and for pricing synthetic CDO tranches. After presenting a general procedure for constructing these processes, we focus on a specific one with...