Dependent defaults and losses with factor copula models

Abstract: We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

Object Details

• Location: Deutsche Nationalbibliothek Frankfurt am Main
• Extent: Online-Ressource
• Language: Englisch

References and Relationships

• Bibliographic citation: Dependent defaults and losses with factor copula models ; volume:5 ; number:1 ; year:2017 ; pages:375-399 ; extent:25 ; Dependence modeling ; 5, Heft 1 (2017), 375-399 (gesamt 25)

Contributors, Places and Time

• Creator: Ackerer, Damien ; Vatter, Thibault

Further information

• DOI: 10.1515/demo-2017-0022
• URN: urn:nbn:de:101:1-2411181528524.005437042178
• Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
• Last update: 15.08.2025, 7:25 AM CEST