This paper introduces the concept of the realized hierarchical Archimedean copula (rHAC).
The proposed approach inherits the ability of the copula to capture the dependencies …

A standard quantitative method to assess credit risk employs a factor model based on joint
multivariate normal distribution properties. By extending the one-factor Gaussian copula …

To account for asymmetric dependence in extreme events, we propose a dynamic
generalized hyperbolic skew Student-t factor copula where the factor loadings follow …

Over the last decade, the growth in the credit derivatives market has been enormous. First,
the market for credit default swaps (CDSs) on single names has become very liquid. This …

Multivariate dependence structures play an important role in finance. The modelling and
accurate prediction of multivariate financial time series is an important component of asset …

Abstract Synthetic Collateralized Debt Obligations (CDOs) were among the driving forces of
the rapid growth of the market for credit derivatives in recent years. Possibly the most …

This thesis is about managing risk, which is an important task of banks and other financial
institutions. These companies have large portfolios with different risk-bearing objects. We …

Throughout this thesis the term collateralized debt obligation, or CDO, will be used for
synthetic CDO tranches unless stated otherwise. These products do not require an upfront …