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In the Core of Correlation
Year Of Publication: 2004
Month Of Publication: April
Pages: 12
Download Count: 968
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 2-1-2005
Publisher: Administrator
Summary
This paper shows that in a Gaussian copula framework we can keep the appeal of analytical tractability and: - Provide a more intuitive correlation structure, leading itself readily to correlation risk analysis. - Compute correlation sensitivities either via the above structure or analytically in an extension of the one-factor model. - Introduce some dependence between recovery rates and between recovery rates and defaults. While this paper is dedicated to CDO tranches, the results can be directly applied to kth to default swaps and to portfolio credit risk analysis.
Author(s)
Gregory, Jon Sign in to follow this author
Laurent, Jean-Paul Sign in to follow this author
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