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...

This paper examines the impact of estimation errors on the financial portfolios optimization processes and investigates the controversy problem of the international and domestic optimal diversification strategies choice from an American investor’s point of view. We introduce the concept of...