Basket Default Swaps, Cdos and Factor Copulas

By Jon Gregory, Jean Paul Laurent. 2005

279 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/8f02ad31d82ad3b4bee19306519ef0f6fb57fc57

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Citations in the corpus

A multivariate jump-driven financial asset model (2006, unknown): “As wrongly reported in Gregory and Laurent (2003), other mixtures, like a mixture of normals with a Gamma, as in our setting, do not lead to a Clayton copula.”
Sampling from Archimedean copulas (2004, methodology): “In a related vein, an alternative method for lessening the number of parameters and effective dimensionality is to use a factor copula [Laurent and Gregory, 2002] and it would be interesting to explore the degree of overlap between that approach and the one outlined here.”
PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “Here three major approaches falling within the broad category of reduced-form models can be distinguished: models with dependent default intensities but conditionally independent default times such as Due & Garleanu (2001); factor copula models such as Li (2001), Laurent & Gregory (2005) , Hull & W”
The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010, unknown): “As mentioned earlier, a popular way of modeling the joint default probability of many obligors is to use the factor-based Gaussian copula model of survival time that was suggested by Gregory and Laurent (2005).”
Modeling and Valuation of Credit Risk (2004, background): “3 Simplified Version Laurent and Gregory (2002) examine a simplified version of the framework of Schönbucher and Schubert (2001).”
Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation (2004, methodology): “Our model is a multifactor copula model similar to that used by researchers such as Li (2000), Laurent and Gregory (2003), and Andersen and Sidenius (2004).”
Valuing Credit Derivatives Using an Implied Copula Approach (2006, methodology): “The structure for this model was suggested by Vasicek [1987] and it was first applied to credit derivatives by Li [2000] and Gregory and Laurent [2005].”
Portfolio Credit Risk Models with Interacting Default Intensities: a Markovian Approach (2004, methodology): “Using partial integration we obtain for the value of the default payments of tranche k V def := E �� T B−1(t) dvk(Lt) � = B−1(T )E � vk (LT ) � + � T r(t)B−1(t)E � vk (Lt) � dt ; 0 0 see Laurent & Gregory (2003) for details.”
CREDIT RISK MODELING AND VALUATION: AN INTRODUCTION (2004, unknown): “It is sometimes called the one-factor Gaussian copula, see Gregory & Laurent (2002).”