{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,29]],"date-time":"2022-03-29T15:33:11Z","timestamp":1648567991327},"reference-count":7,"publisher":"World Scientific Pub Co Pte Lt","issue":"03","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Int. J. Info. Tech. Dec. Mak."],"published-print":{"date-parts":[[2006,9]]},"abstract":"<jats:p> Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative \u2014 collateralized debt obligation (CDO). We also analyze two important factors influencing the pricing of multi-name credit derivatives, recovery rates and copula function. Finally, we apply Clayton copula, in a numerical example, to simulate default times taking specific underlying recovery rates and average recovery rates, then price the tranches of a given CDO and then analyze the results. <\/jats:p>","DOI":"10.1142\/s0219622006002076","type":"journal-article","created":{"date-parts":[[2006,10,2]],"date-time":"2006-10-02T07:02:56Z","timestamp":1159772576000},"page":"483-493","source":"Crossref","is-referenced-by-count":4,"title":["ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS"],"prefix":"10.1142","volume":"05","author":[{"given":"PING","family":"LI","sequence":"first","affiliation":[{"name":"Department of Finance, Beihang University, Beijing 100083, China"}]},{"given":"HOUSHENG","family":"CHEN","sequence":"additional","affiliation":[{"name":"Department of Finance, Beihang University, Beijing 100083, China"}]},{"given":"XIAOTIE","family":"DENG","sequence":"additional","affiliation":[{"name":"Department of Computer Science, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China"}]},{"given":"SHUNMING","family":"ZHANG","sequence":"additional","affiliation":[{"name":"School of Economics and Finance, Victoria University of Wellington, Wellington, New Zealand"}]}],"member":"219","published-online":{"date-parts":[[2011,11,20]]},"reference":[{"key":"rf1","first-page":"449","volume":"29","author":"Merton R. C.","journal-title":"Journal of Finance"},{"key":"rf2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1995.tb05167.x"},{"key":"rf3","doi-asserted-by":"publisher","DOI":"10.1080\/10920277.1998.10595667"},{"key":"rf4","first-page":"1","volume":"4","author":"Rank J.","journal-title":"Mathematical Finance"},{"key":"rf5","doi-asserted-by":"publisher","DOI":"10.3905\/jfi.2000.319253"},{"key":"rf10","doi-asserted-by":"publisher","DOI":"10.1007\/3-540-48236-9"},{"key":"rf11","first-page":"229","volume":"8","author":"Sklar A.","journal-title":"Publications de l'Institut de Statistique de L'Universit\u00e9 de Paris"}],"container-title":["International Journal of Information Technology &amp; Decision Making"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.worldscientific.com\/doi\/pdf\/10.1142\/S0219622006002076","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,8,7]],"date-time":"2019-08-07T10:20:44Z","timestamp":1565173244000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.worldscientific.com\/doi\/abs\/10.1142\/S0219622006002076"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,9]]},"references-count":7,"journal-issue":{"issue":"03","published-online":{"date-parts":[[2011,11,20]]},"published-print":{"date-parts":[[2006,9]]}},"alternative-id":["10.1142\/S0219622006002076"],"URL":"https:\/\/doi.org\/10.1142\/s0219622006002076","relation":{},"ISSN":["0219-6220","1793-6845"],"issn-type":[{"value":"0219-6220","type":"print"},{"value":"1793-6845","type":"electronic"}],"subject":[],"published":{"date-parts":[[2006,9]]}}}