Copulas
Full capital structures allow revival of synthetic CDOs
Managed deals could be next, but market's potential is expected to be limited
Cutting edge intro: Righting wrong-way risk
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Modelling dependency in operational risk
Dependencies between risk types are a vital part of any risk model – but the choice of how to represent them can be critically important to the result of a capital calculation
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Copulas and credit models
Copulas and credit models
Cutting Edge introduction: Hedging dependence
Hedging dependence
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian processes with deterministic volatility and…
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
On the use of t-copulas for economic capital calculations
Research Papers
A new breed of copulas for risk and portfolio management
A new breed of copulas for risk and portfolio management
Cutting edge introduction
A popular copula
The CMS triangle arbitrage
The CMS triangle arbitrage