CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching … Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton … copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that …

Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models … -- Large Homogeneous Cell Approximation for Factor Copula Models -- Regime-Switching Extension of the NIG Factor Copula Model …This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …