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 …

. 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 …