Kijima, Masaaki; Motomiya, Shin-ichi; Suzuki, Yoichi - In: Journal of Economic Dynamics and Control 34 (2010) 11, pp. 2245-2258
This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs, based on the multivariate Wang transform. Unlike the existing models, our model calibrates the parameter associated with a risk adjustment for default threshold, not correlation parameter, which...