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.

Keywords: Marshall–Olkin model, Gaussian copula model, t-copula, collateralised debt obligation

Oxford Handbooks Online requires a subscription or purchase to access the full text of titles within the service. Public users can however freely search the site and view restricted versions of this content, plus any full text content that is freely available.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs, and if you can't find the answer there, please contact us .