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| Model de CDO amb còpula× | Ajustament de Valoració de Crèdit× | |
|---|---|---|
| Camp | Finances quantitatives | Finances quantitatives |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2000 | 2000s |
| Autor original≠ | David X. Li | Jon Gregory |
| Tipus≠ | Credit Portfolio Model | Valuation Framework |
| Font seminal≠ | Li, D. X. (2000). On default correlation: A copula function approach. Journal of Fixed Income, 9(4), 43-54. DOI ↗ | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ |
| Àlies | Copula Default Model, CDO Pricing | CVA, Counterparty Risk Adjustment |
| Relacionats | 3 | 3 |
| Resum≠ | The copula CDO model (Li 2000) uses Gaussian copulas to price collateralized debt obligations (CDOs) by modeling joint default probabilities across a portfolio of bonds. The model became the industry standard for CDO pricing but was heavily criticized post-2008 for underestimating tail risk and correlation breakdowns during crises. | Credit Valuation Adjustment (CVA) is the market price of counterparty credit risk embedded in over-the-counter (OTC) derivatives. CVA measures the loss from counterparty default, accounting for both the probability of default and the exposure at that time. It has become a key component of derivative valuation and risk management since the 2008 financial crisis. |
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