Static portfolio credit models

From FinMath

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[edit] Papers

• CDO Models - Toward the Next Generation: Incomplete Markets and Term Structure 2006 Michael Walker.

• Levy Base Correlation 2007 Garcia, Goossens, Masol and Schoutens

• An Evaluation of the base correlation framework (2004) Soren Willemann

• Wiping the Smile off Your Base (Correlation Curve) (pdf) Parcell and Wood, June 2007.

• Using distortions of Copulas to price synthetic CDOs (pdf) Glenis Crane and John van der Hoek

• Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models (pdf) Dan Rosen and David Saunders

• CDO² Pricing using Gaussian Mixture Model with Transformation of Loss Distribution (2005) David X. Li and Michael Liang.

• The May 2005 correlation crisis. Did the models really fail? (pdf) Ammar Kherraz

• Patton, A.J., 2006, Modelling Asymmetric Exchange Rate Dependence, International Economic Review, 47(2), 527-556. (pdf).

• Patton, A.J., 2006, Estimation of Multivariate Models for Time Series of Possibly Different Lengths, Journal of Applied Econometrics, 21(2), 147-173. (pdf)

• Patton, A.J., 2004, On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics, 2(1), 130-168. (pdf)

• Tails of Copulas (pdf) Gary G. Venter.

• Which Archimedian Copula should one use? Mario R. Melchiori(2003).

• Dependence Patterns across Financial Markets: a Mixed Copula Approach. Ling Hu (2004)

• Efficient Estimation of Semiparametric Multivariate Copula Models. Chen, Fan and Tsyrennikov (2005)

• Dynamic copula models for multivariate high-frequency data in finance. Dias and Embrechts (pdf).

• Simulating exchangeable multivariate archimedean Copulas and it applications. Wu, VAldez and Sherris (2006)

[edit] Code

Code:patton_copula_toolbox. More soon.

[edit] See also

• Conditional copula models
• Using distortions of copulas to price synthetic CDOs