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A Copula-Based Model of the Term Structure of CDO Tranches U. Cherubini – S. Mulinacci – S. Romagnoli  University of Bologna International Financial Research Forum Paris, 27-28 March 2008
Outline ,[object Object],[object Object],[object Object],[object Object],[object Object]
Copula applications in finance ,[object Object],[object Object],[object Object]
Dependence in finance ,[object Object],[object Object],[object Object],[object Object]
Equity: Barrier Altiplano ,[object Object],[object Object],[object Object],[object Object],[object Object]
Basket credit derivatives and CDOs ,[object Object],[object Object]
Tranches as options on losses ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Credit: Standard synthetic CDOs ,[object Object],[object Object],[object Object]
Cross-section dependence ,[object Object],[object Object],[object Object]
Temporal dependence ,[object Object],[object Object],[object Object]
Copula applications: literature ,[object Object],[object Object],[object Object],[object Object],[object Object]
Copula product ,[object Object],[object Object],[object Object]
Markov processes and copulas ,[object Object],[object Object],[object Object]
Properties of     products ,[object Object],[object Object],[object Object],[object Object],[object Object]
Example: Brownian Copula ,[object Object],[object Object]
Time Changed Brownian Copulas ,[object Object],[object Object],[object Object]
Our approach: dependent increments ,[object Object],[object Object],[object Object]
A special class of processes ,[object Object],[object Object],[object Object],[object Object],[object Object]
A temporal aggregation algorithm ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Time aggregation with Archimedean copulas: tau = 0.2
Application to credit ,[object Object],[object Object],[object Object],[object Object]
Default probability of equity tranches: LPM, different time horizons
“ Houston, we have a problem” ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Conclusions ,[object Object],[object Object],[object Object]

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Copula-Based Model for the Term Structure of CDO Tranches

  • 1. A Copula-Based Model of the Term Structure of CDO Tranches U. Cherubini – S. Mulinacci – S. Romagnoli University of Bologna International Financial Research Forum Paris, 27-28 March 2008
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  • 20. Time aggregation with Archimedean copulas: tau = 0.2
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  • 22. Default probability of equity tranches: LPM, different time horizons
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