Dependent defaults and losses with factor copula models

Damien Ackerer, and Thibault Vatter. "Dependent defaults and losses with factor copula models." Dependence Modeling 5.1 (2017): 375-399. <http://eudml.org/doc/288369>.

@article{DamienAckerer2017,
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.},
author = {Damien Ackerer, Thibault Vatter},
journal = {Dependence Modeling},
keywords = {credit portfolio; credit derivatives; discrete Fourier transform; factor copula; random loss; survival models},
language = {eng},
number = {1},
pages = {375-399},
title = {Dependent defaults and losses with factor copula models},
url = {http://eudml.org/doc/288369},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Damien Ackerer
AU - Thibault Vatter
TI - Dependent defaults and losses with factor copula models
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 375
EP - 399
AB - 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.
LA - eng
KW - credit portfolio; credit derivatives; discrete Fourier transform; factor copula; random loss; survival models
UR - http://eudml.org/doc/288369
ER -