Abid, Fathi; Naifar, Nader - In: International Journal of Applied Management Science 2 (2010) 3, pp. 239-261
The aim of this paper is to study the impact of structure of dependency on the pricing of multi-name credit derivatives such as collateralised debt obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based...