So sánh phương pháp

	Mô hình CDO Copula	Điều chỉnh định giá tín dụng
Lĩnh vực	Tài chính định lượng	Tài chính định lượng
Họ	Regression model	Regression model
Năm ra đời	2000	2000s
Người khởi xướng	David X. Li	Jon Gregory
Loại	Credit Portfolio Model	Valuation Framework
Công trình gốc	Li, D. X. (2000). On default correlation: A copula function approach. Journal of Fixed Income, 9(4), 43-54.	Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons.
Tên gọi khác	Copula Default Model, CDO Pricing	CVA, Counterparty Risk Adjustment
Liên quan	3	3
Tóm tắt	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.