Identificativo	GregoryLaurent04,
Tipo di record
Autore/i	Gregory J ; Laurent J
Anno	2004
Titolo	In the Core of Correlation
	paper
Altre Informazioni	April Web Download.
Keywords separare key1:key2
Abstract	This paper shows that in a Gaussian copula framework we can keep the appeal of analytical tractability and: - Provide a more intuitive correlation structure, leading itself readily to correlation risk analysis. - Compute correlation sensitivities either via the above structure or analytically in an extension of the one-factor model. - Introduce some dependence between recovery rates and between recovery rates and defaults. While this paper is dedicated to CDO tranches, the results can be directly applied to kth to default swaps and to portfolio credit risk analysis.
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Autore interessato	DISA
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Documento del gruppo di ricerca	No

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