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 … distribution. -- CDO ; CDS ; multifactor models ; multivariate distributions ; copulae ; correlation smile …

Archimedean opulas 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 … for general hierarchical Archimedean copulas. -- Copula ; multivariate distribution ; Archimedean copula ; stochastic …