Abstract and Keywords
This article, which shows that the Marshall–Olkin model can be a viable alternative to the standard Gaussian copula, is organized as follows. Section 2 introduces the Marshall–Olkin model. Section 3 derives the copula function of default times. Section 4 studies the aggregate default distribution. Section 5 discusses the model calibration. Section 6 compares Marshall–Olkin with the Gaussian and t-copula, and Section 7 uses the Marshall–Olkin copula to reproduce the correlation skew in the collateralised debt obligation market.
Access to the complete content on Oxford Handbooks Online requires a subscription or purchase. Public users are able to search the site and view the abstracts and keywords for each book and chapter without a subscription.
If you have purchased a print title that contains an access token, please see the token for information about how to register your code.