
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
View/ Open
Type
Document de travail / Working paperDate
2008Publisher
Zeliade Systems SAS
Series title
Zeliade WhitepapersSeries number
ZWP-0003Published in
Paris
Pages
17
Metadata
Show full item recordAbstract (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 crisisRelated items
Showing items related by title and author.
-
Lardy, Jean-Pierre; Patras, Frédéric; Vialard, François-Xavier (2009) Communication / Conférence
-
Zhang, Dong Ping; Risser, Laurent; Vialard, François-Xavier; Edwards, Philip; Metz, Coert; Neefjes, Lisan; Mollet, Nico; Niessen, Wiro; Rueckert, Daniel (2010) Communication / Conférence
-
Benamou, Jean-David; Gallouët, Thomas; Vialard, François-Xavier (2019) Article accepté pour publication ou publié
-
Feydy, Jean; Charlier, Benjamin; Vialard, François-Xavier; Peyré, Gabriel (2017) Communication / Conférence
-
Cohen, Laurent D.; Fiot, Jean-Baptiste; Fripp, Jürgen; Raguet, Hugo; Risser, Laurent; Vialard, François-Xavier (2014) Article accepté pour publication ou publié