The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
The Valuation of Basket Credit Derivatives: A Copula Function ...
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Default Correlation: <strong>The</strong> Joy <strong>of</strong> <strong>Copula</strong>s<br />
● We first know the marginal distribution <strong>of</strong> survival<br />
time for each credit<br />
● We need to construct a joint distribution with given<br />
marginals and a correlation structures<br />
● <strong>Copula</strong> function in multivariate statistics can be used<br />
● <strong>The</strong> correlation parameters used in copula function<br />
can be interpreted as the asset correlation between<br />
two credits used in <strong>Credit</strong>Metrics
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