Time to adapt copula methods for modelling credit risk correlation

- Darrell Duffie
- 04 May 2004

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Credit risk modelling has improved rapidly, spurred by explosive growth in the credit derivatives market, unusually high corporate default rates during 2001 and 2002, and the prospect of more quantitatively sophisticated bank capital regulations under the upcoming Basel II Accord.

Modelling priorities should include more realistic and convenient methods for quantifying correlations of credit risks across corporate borrowers. These are crucial, for example, for the risk management of

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