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| Kopula-CDO-Modell× | Risikoneutrale Bewertung× | |
|---|---|---|
| Fachgebiet | Quantitative Finanzwirtschaft | Quantitative Finanzwirtschaft |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2000 | 1979 |
| Urheber≠ | David X. Li | John Harrison and David Kreps |
| Typ≠ | Credit Portfolio Model | Fundamental Principle |
| Wegweisende Quelle≠ | Li, D. X. (2000). On default correlation: A copula function approach. Journal of Fixed Income, 9(4), 43-54. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Aliasnamen | Copula Default Model, CDO Pricing | Risk-Neutral Measure, Q-Measure |
| Verwandt≠ | 3 | 4 |
| Zusammenfassung≠ | 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. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
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