Copula functions and dependency concepts
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Modeling default of several obligors implies modeling the default probability of the single obligor as well as the dependence structure between obligors.
A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of isolating the description of such dependence structure.
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