perform this function, however, the risk of the CDS seller's failure needs to be minimized. In this regard, government … regulation imposing stricter collateral requirements and higher equity capital for CDS traders needs to be introduced. …

the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities …-parameter model incorporates the fact that the risky assets of the CDO pool are chosen from six different industry sectors. The … dependency among the assets from the same group is described with the higher value of the copula parameter, otherwise the lower …

the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities …-parameter model incorporates the fact that the risky assets of the CDO pool are chosen from six different industry sectors. The … dependency among the assets from the same group is described with the higher value of the copula parameter, otherwise the lower …

years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three … Archimedean copulae (HAC) whose construction allows for the fact that the risky assets of the CDO pool are chosen from six … different industry sectors. The dependence among the assets from the same group is specified with the higher value of the copula …

stochastic recovery modelling. This paper presents an extension to the standard Gaussian copula framework that introduces a …

-factor Gaussian copula model and can easily be implemented within the framework of the existing computational infrastructure. As it … turns out, the Gaussian copula model can itself be recast into this framework highlighting its limitations. The model can …

capital value from resale of the asset. We propose a model to hedge residual value risk using the Gaussian copula methodology …