Beyond Conditionnally Independent Defaults

6 Pages Posted: 26 Nov 2007

See all articles by Jean-Frédéric Jouanin

Jean-Frédéric Jouanin

affiliation not provided to SSRN

Gaël Riboulet

Natixis

Thierry Roncalli

Amundi Asset Management; University of Evry

Date Written: January 31, 2002

Abstract

Non - technical version of the paper Modelling dependence for credit derivatives with copulas.

Keywords: Copulas, intensity models, Moody's diversity score

JEL Classification: G00

Suggested Citation

Jouanin, Jean-Frédéric and Riboulet, Gaël and Roncalli, Thierry, Beyond Conditionnally Independent Defaults (January 31, 2002). Available at SSRN: https://ssrn.com/abstract=1032564 or http://dx.doi.org/10.2139/ssrn.1032564

Jean-Frédéric Jouanin

affiliation not provided to SSRN ( email )

No Address Available

Gaël Riboulet

Natixis ( email )

47 Quai d'Austerlitz
Paris, France 75014
France

Thierry Roncalli (Contact Author)

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

University of Evry ( email )

Boulevard Francois Mitterrand
F-91025 Evry Cedex
France

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