Market-implied Archimedean copulas

Luigi Vacca
01 Jan 2008

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

The credit derivatives market has experienced explosive growth in the past decade. Banks have created and maintained a series of index portfolios, such as CDX North America and iTraxx Europe, to promote market liquidity. A set of standardised index tranches, with fixed attachments and detachments, is being traded daily by brokers and dealers in the over-the-counter market. At the same time, buyers and sellers of protection have traded tranches of customised portfolios, so-called 'bespokes'

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]