By Anna Schlösser
This ebook considers the one-factor copula version for credits portfolios which are used for pricing artificial CDO constructions in addition to for possibility administration and dimension purposes related to the new release of eventualities for the whole universe of hazard components and the inclusion of CDO constructions in a portfolio context. For this goal, it truly is particularly vital to have a computationally quickly version that could even be utilized in a situation simulation framework. the well-known Gaussian copula version is prolonged in quite a few methods to be able to increase its drawbacks of correlation smile and time inconsistency. additionally the appliance of the big homogeneous phone assumption, that enables to tell apart among ranking sessions, makes the version handy and robust for functional functions. The Crash-NIG extension introduces a major regime-switching characteristic permitting the opportunity of a industry crash that's characterised by way of a high-correlation regime.
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