CDO pricing with nested Archimedean copulas

By Marius Hofert, Matthias Scherer. 2011

124 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/3f903102e223227dd66a5dff680dc88cec12ad3b

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Citations in the corpus

Copulas in Econometrics (2014, methodology): “Li (2000), Giesecke (2004), Hofert & Scherer (2011), and Duffie (2011) provide applications to the pricing of credit derivatives.”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “Hofert and Scherer (2011) and Hering, et al. (2010) consider nested Archimedean copulas for modelling credit default swaps on 125 companies.”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “An early warning for the consequences of even a slight increase in interdependence between default-events of credit positions for the evaluation of securitized products like CDOs is to be found in McNeil et al. (2005, Figure 8.1); see also Hofert and Scherer (2011).”
Hierarchical Kendall copulas: Properties and inference (2012, methodology): “Whether the number of exceedances (“unconditional coverage”) and their occurrences (should be independent; both properties: “conditional coverage”) are appropriate can be evaluated using a range of tests, so-called backtests, that have been proposed in the literature: the proportion of failures test”
A review of copula models for economic time series (2012, background): “Hofert and Scherer [92] and Hering et al. [90] consider nested Archimedean copulas for modeling credit default swaps on 125 companies; see also Hofert et al. [91] for a study of numerical issues associated with estimation in this context.”
A stochastic representation and sampling algorithm for nested Archimedean copulas (2012, methodology): “This allows one to use these copulas in large-scale simulation studies [8] in the context of pricing collateralized debt obligations.”
Dependence modeling in non-life insurance using the Bernstein copula (2012, background): “Copula applications are presented for modeling dependence between stock returns (Jondeau and Rockinger, 2006), CDO pricing (Hofert and Scherer, 2011), currency option pricing (Salmon and Schleicher, 2006), or internal risk models (Eling and Toplek, 2009); further areas of application can, e.g., be…”