CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching … Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton … copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that …

This paper proposes the use of outlier detection methods from robust statistics and copula goodness-of-fit tests to … given by a mixture of two parametric copulas: one copula that is presumed to represent the true dependence structure and one … disturbing copula. The Monte Carlo simulations show that the goodness-of-fit tests we consider lose significantly in power when …

normal and Student's t benchmark models and a multivariate Johnson's SU model, the copula-based models with non …

instrument-free estimation method that builds upon joint estimation using copulas. The method is based on Gaussian copula …

post-COVID period. Using t-copula-DCC-GJR-GARCH-skew-t and t-copula-aDCC-GJR-GARCH-skew-t models for pre- and post …-COVID periods, respectively and the R-vine copula model for tail dependence analysis during times of extreme market conditions; our …