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| 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. |
| File documento allegato | |
| Documento del gruppo di ricerca | No |
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