- Oxford Handbooks in Finance
- Series Editor's Preface
- List of Figures
- List of Tables
- List of Contributors
- Non-Technical Introduction
- Technical Introduction
- Default Recovery Rates and Lgd in Credit Risk Modelling and Practice
- A Guide to Modelling credit term Structures
- Statistical data mining procedures in generalized cox regressions
- An Exposition Of CDS Market Models
- Single‐and Multi‐Name Credit Derivatives: Theory and Practice
- Marshall‐Olkin Copula‐Based Models
- Contagion Models in Credit Risk
- Markov Chain Models of Portfolio Credit Risk
- Counterparty Risk in Credit Derivative Contracts
- Credit Value Adjustment in the Extended Structural Default Model
- A New Philosophy of the Market
- An EVT Primer for Credit Risk
- Saddlepoint methods in portfolio theory
- Quantitative Aspects of the collapse of the parallel banking system
- Home Price Derivatives and Modelling
- A Valuation Model for ABS Cdos
- Name Index
- Subject Index
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.
Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit Derivatives Quantitative Research at Citi. His group is responsible for model development and analytics for all the credit businesses at Citi, this includes: Flow Credit Trading, Correlation Trading, ABS, Credit Exotics and Emerging Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Derivatives Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of École Centrale Paris, and he holds a Ph.D. in Mathematics from Paris‐Dauphine University.
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