conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …

. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across … position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …