Copula sensitivity in collateralized debt obligations and basket default swaps

By Davide Meneguzzo, Walter Vecchiato. 2004

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8954d4d63f7dd94991bb0162e6683321b76bf03f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Andrew W. Lo
2. John V. Guttag
3. John Douglas Opdyke
4. Ronan Bolton
5. S. Hall
6. T. Foxon
7. Jun Pan
8. Michael Wolf

In Finance

1. Andrew W. Lo
2. John V. Guttag
3. Gartheeban Ganeshapillai
4. John Douglas Opdyke
5. Sylvain Chassang
6. S. Hall
7. T. Foxon
8. Ronan Bolton

Citations in the corpus

• Learning Connections in Financial Time Series (2013, background): “The poor performance of EVCR is striking because t-copula is widely used in financial risk assessment, especially in the pricing of collateralized debt obligations (CDO) (Meneguzzo & Vecchiato, 2004; MacKenzie, 2008).”