Copule archimediane implicite nei dati di mercato
La stima delle funzioni di copula implicite è un elemento centrale ai fini della generazione delle distribuzioni delle perdite su portafogli "bespoke" e della valutazione delle relative tranche. Tale processo è reso possibile dalla disponibilità di dati relativi ai prezzi delle tranche di indici. Partendo dalle distribuzioni delle perdite degli indici, Luigi Vacca illustra come calcolare le copule archimediane implicite, utilizzabili per prezzare qualsiasi tranche bespoke in modo semplice e coerente
Nell'ultimo decennio il mercato dei derivati su crediti ha registrato una crescita esplosiva, anche grazie all'impulso alla liquidità offerto dalle banche con la creazione e gestione di una serie di indici di credito, quali il CDX North America e l'iTraxx Europe. Oggi esiste tutta una serie di tranche di indici standardizzate, con livelli di subordinazione e spessore fissi, scambiate quotidianamente da broker e dealer sul mercato over-the-counter, mentre gli acquirenti e venditori di protezione
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