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- W2045537520 abstract "Copula method is widely used for modeling the portfolio credit risk. In this paper, we introduce a dynamic copula for CDO pricing. Because the most important parameter in CDO pricing model is the value of the portfolio loss dependent on time, so we give a dynamic estimation for portfolio loss with a random recovery. But this method cannot tell us how much the error of the loss distribution is, and then we utilize a saddle-point approximation approach to estimate the error of the loss distribution." @default.
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- W2045537520 date "2011-10-01" @default.
- W2045537520 modified "2023-09-26" @default.
- W2045537520 title "A Dynamic Copula for CDO Pricing" @default.
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- W2045537520 doi "https://doi.org/10.1109/iccis.2011.30" @default.
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