Abstract
Modeling default of several obligors implies modeling the default probability of the single obligor as well as the dependence structure between obligors.
A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of isolating the description of such dependence structure.
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© 2014 Springer Fachmedien Wiesbaden
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Marcantoni, E. (2014). Copula functions and dependency concepts. In: Collateralized Debt Obligations. BestMasters. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-04846-4_4
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DOI: https://doi.org/10.1007/978-3-658-04846-4_4
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Online ISBN: 978-3-658-04846-4
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