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Why is the Gaussian Copula model so widely used in the financial industry to price CDO's and CDO tranches?
Wiki User
∙ 16y ago
Jon Gregory of BNP Paribas and Jean-Paul Laurent of Univeristy of Lyon and BNP Paribas in their paper, "In the Core of Correlation," indicate the appeal of the Guassian single-factor Copula Model relates to: (i) its ease of implementing via Monte Carlo simulation, (ii) the speed with which prices and deltas can be determined, and (iii) its underlying dependence structure has been linked to equity returns correlation.
Wiki User
∙ 16y ago
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Where can one get a Gaussian Copula?
There are many places where one can get a Gaussian Copula. One can get a Gaussian Copula at popular on the web sources such as Wired, UCL Finds, and SPS.
What is the Gaussian copula function for finance what is the equation and how do I solve it?
The Gaussian Copula function for finance has been totally discredited and you shouldn't touch it with a barge-pole. See The Formula That Sank Wall Street in Wired magazine.
What is the base correlation in a credit derivative pricing model?
While compound correlation is the correlation found by calibrating the Gaussian copula model to the price of a CDO tranche (for example 3-6%), base correlation is found by calibrating to the price of a first loss tranche, i.e. to the sum of all tranches up to an attachment point (for example 0-6%, the sum of 0-3% and 3-6%). The curve of correlations obtained by calibrating to first loss tranches turns out to be much smoother and more stable than that obtained by calibrating to plain tranches.
What is a zero copula?
A zero copula is the joining of a subject to a predicate without the use of a copula, such as "the more the merrier".
What are mosque toppers called?
copula
How do you use copula in a sentence?
A "copula" is a word used to link a subject and a predicate in a sentence. Common examples include "is", "am", "are", and "be".Accordingly, an example of such in a sentence would be:"I am glad to see you."or"The group is excited to have been accepted."In my personal experience, in English 101/102, simple or cliche use of copula is discouraged. Action verbs, instead, can be used in their place.Examples of sentence avoiding the standard use of copula:"Seeing you fills me with glee."or"The group revels in the news of your acceptance."Bottom Line: You use copula to link a subject with other subjects, verbs, adjectives, etc. In writing it may be beneficial to use actions to connect the sentence. They too are copula, it just sounds better.
What are the parts of prosition in logic?
1. Subject2. Predicate3. copula
What is of in English grammar term?
a part of the verb 'to be''to be' is a copula verb
How do you price a basket of credit default swaps for example an n-th to default structure?
The main references are:David X. Li "Pricing Basket Credit Derivatives"Hull-White "Credit Default Swap II"However, pricing a multiname credit derivative product basically boils down to efficiently implementing a MonteCarlo simulation for correlated random variables. The main decision to be taken is how to model correlations. A Gaussian copula is at the moment the market standard. Most practioners use it, although many of them dislike it. Research in this field is still at a very preliminary stage. The fact is that the Gaussian copula model is easy to calibrate and allows for straightforward comparative statics (e.g. calculation of the delta) while other more realistic and complicated models (such as Darrel Duffies' affine models) are still very difficult to calibrate and use.
How many copula verbs are there in English?
There are 23. Helping Verbs: am is was are were being been be have has had do does did shall will should would may might must can could
What is the meaning of copula?
In linguistics, a copula is a word or morpheme used to link a subject to its complement. It typically expresses the equality or identity of the subject and the complement. In English, the primary copula is the verb "to be" (e.g., "She is happy."), but other verbs like "seem," "appear," and "become" can also function as copulas in certain contexts.
What has the author Robyn Ferrell written?
Robyn Ferrell has written: 'Copula'
