Credit Correlation:Life After Copulas

Edited by Alexander Lipton and Andrew Rennie

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.

Keywords: Credit Derivatives; Gaussian Copulas; Tranches; Credit Baskets; Base Correlations (search for similar items in EconPapers)
Date: 2007
ISBN: 9789812709493
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Chapters in this book:

Ch 1 LÉVY SIMPLE STRUCTURAL MODELS , pp 1-14

Martin Baxter

Ch 2 CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES , pp 15-39

Damiano Brigo, Andrea Pallavicini and Roberto Torresetti

Ch 3 STOCHASTIC INTENSITY MODELING FOR STRUCTURED CREDIT EXOTICS , pp 41-60

Alexander Chapovsky, Andrew Rennie and Pedro Tavares

Ch 4 LARGE PORTFOLIO CREDIT RISK MODELING , pp 61-86

Mark H. A. Davis and Juan Carlos Esparragoza-Rodriguez

Ch 5 EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY , pp 87-109

Michael A. H. Dempster, Elena A. Medova and Seung W. Yang

Ch 6 PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL , pp 111-139

Youssef Elouerkhaoui

Ch 7 JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS , pp 141-156

Friedel Epple, Sam Morgan and Lutz Schloegl

Ch 8 ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH , pp 157-169

Jakob Sidenius

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