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Credit Correlation: Life After Copulas Life After Copulas by Alexander Lipton; Andrew Rennie; World Scientific (Firm) is a nonfiction available to read on EtoBox.

What is Credit Correlation: Life After Copulas Life After Copulas about?

The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better.This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decid

Who reads Credit Correlation: Life After Copulas Life After Copulas?

Author

Alexander Lipton; Andrew Rennie; World Scientific (Firm)

Publisher

World Scientific Publishing Company

Published

2007

Language

EN

ISBN

9781281918826

Category

nonfiction

Subjects

Mathematics, Business, Finance