Article

Marshall‐Olkin Copula‐Based Models

Youssef Elouerkhaoui

in The Oxford Handbook of Credit Derivatives

Published in print January 2011 | ISBN: 9780199546787
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780199546787.013.0008

Series: Oxford Handbooks in Finance

 Marshall‐Olkin Copula‐Based Models

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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

Article.  10927 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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