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ASSESSING CDOS UNDER ALTERNATIVE COPULAS
作者: Zifei Fan
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参考文章
(10)
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E. Rogge, P.J. Schönbucher,
Modelling Dynamic Portfolio Credit Risk
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2.
Paul Embrechts, Alexander J. McNeil, Daniel Straumann,
Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
Cambridge University Press.
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10.1017/CBO9780511615337.008
3.
Roy Mashal, Assaf Zeevi,
Beyond Correlation: Extreme Co-movements Between Financial Assets
Social Science Research Network.
,(2002) ,
10.2139/SSRN.317122
4.
Philipp J. Schönbucher, Dirk Schubert,
Copula-Dependent Defaults in Intensity Models
Social Science Research Network.
,(2001) ,
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5.
Naifar Nader, Abid Fathi,
Copula based simulation procedures for pricing basket Credit Derivatives
Research Papers in Economics.
,(2007)
6.
Jadran Dobrić, Friedrich Schmid,
Testing goodness of fit for parametric families of copulas : Application to financial data
Communications in Statistics - Simulation and Computation.
,vol. 34, pp. 1053- 1068 ,(2005) ,
10.1080/03610910500308685
7.
David Lando,
On Cox Processes and Credit Risky Securities
Review of Derivatives Research.
,vol. 2, pp. 99- 120 ,(1998) ,
10.1007/BF01531332
8.
Michael S. Gibson,
Understanding the Risk of Synthetic CDOs
Social Science Research Network.
,vol. 2004, pp. 1- 27 ,(2004) ,
10.17016/FEDS.2004.36
9.
Robert C. Merton,
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
The Journal of Finance.
,vol. 29, pp. 449- 470 ,(1974) ,
10.1111/J.1540-6261.1974.TB03058.X
10.
David X. Li,
On Default Correlation: A Copula Function Approach
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,vol. 9, pp. 43- 54 ,(2000) ,
10.3905/JFI.2000.319253
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2008 年,
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