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Dependent defaults and losses with factor copula models

100%

Ackerer D., Vatter T.

Dependence Modeling

2017

tom 5

nr 1

375-399

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

Ograniczanie wyników

1 Dependence Modeling

1 Ackerer D.

1 Vatter T.

1 2017

Wyniki wyszukiwania

Dependent defaults and losses with factor copula models