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CDOs: How far should we depart from Gaussian copulas?

Lardy, Jean-Pierre; Patras, Frédéric; Vialard, François-Xavier (2008), CDOs: How far should we depart from Gaussian copulas?. https://basepub.dauphine.fr/handle/123456789/7114

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zwp-0003.pdf (187.7Kb)
Type
Document de travail / Working paper
Date
2008
Publisher
Zeliade Systems SAS
Series title
Zeliade Whitepapers
Series number
ZWP-0003
Published in
Paris
Pages
17
Metadata
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Author(s)
Lardy, Jean-Pierre
Patras, Frédéric cc
Vialard, François-Xavier
Abstract (EN)
With hindsight, the subprime crisis highlighted the importance of high correlation regimes and systemic risks and contagion. It is mainly about them that this paper will focus on, in the context of the liquid index tranches but also for European Prime RMBS and SME securitizations.
Subjects / Keywords
systemic risks; high correlation regimes; subprime crisis
JEL
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
D53 - Financial Markets

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