Pricing of a CDO base tranche is considered when copula is comonotone and approximations are derived for the base tranche expected loss, obtained with a one-factor Gaussian copula model, when correlations are sufficiently close to 100%. Numerical examples are provided showing that a two-term...

We propose and test a new algorithm for the numerical integration of the conditional total portfolio loss distribution over the market factor in the one-factor Gaussian copula model. It has higher precision than the popular numerical schemes which use the same or even higher number of sampling...

In Hull and White (2006) we showed how CDO quotes can be used to imply a probability distribution for the hazard rate over the life of the CDO. This is known as the implied copula model. In this paper we develop a parametric version of the implied copula model and show how it can be used for...