CDO Pricing: Copula Implied by Risk Neutral Dynamics

Huber, Eric

doi:10.2139/ssrn.2719645

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Lower Bound From the (Li 2009) Model1

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“…None of the historical default events so far are caused by contagion in the strict sense that one company's default event directly caused another company to default. Contagion models also have some undesirable properties as shown in (Hitier & Huber 2009) that make it difficult to use in practice. Therefore, conditional independent factor model remains the most practical and efficient approach to include single name information.…”

Section: Lower Bound From the (Li 2009) Modelmentioning

confidence: 99%