Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach

By David X Li and Jure Skarabot

This article was first published as a chapter in Credit Derivatives, by Risk Books.


Development of credit derivatives markets

The need to efficiently manage credit risk generated a strong foundation for the expansion of suitable market instruments. Serving this purpose, credit derivatives products are one of the most effective solutions, providing various methods for transfer of credit risk between the market participants. Credit derivatives markets have been through a rapid gro

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