Pricing Multi-Name Structures
Interactive

Pricing Multi-Name Structures

Intuition Publishing Pty Ltd
Updated Sep 24, 2020

The Gaussian Copula function is a mathematical formula that modeled complex risks. However, the Gaussian Copula has been blamed for many of the losses incurred in the credit derivatives market during the financial crisis. Here we examine how the correlation issues in multi-name credit derivatives are addressed by this model.

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