Abid, Fathi; Naifar, Nader - In: Journal of Applied Economic Sciences 3 (2008) 2(4)_Summer2008
The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives. We first present the wellknown result for the pricing of default risk, when there is only one defaultable...