The inherent complexity of modern financial systems, and their basis in human behavior,
make it hard to establish unequivocally the “who, what, where, when, and why” of the global …

This paper presents a simple model for joint defaults and shows how it can be applied to
pricing and risk-managing instruments that are sensitive to credit correlation, from simple …

In this paper, we propose a latent variable credit risk model for large loan portfolios. It
employs the concept of nested Archimedean copulas to account for both a sector-type …

This paper uses a unique data set of more than 1000 synthetic Collateralized Debt
Obligations (CDOs) deals to describe typical structures, their pricing and performance with …

Instrumenty zabezpieczone obligacjami skarbowymi (sovereign bond-backed securities,
SBBS) to nowy pomysł na wzmocnienie strefy euro i zwiększenie dostępności tzw …