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Copula Phase Transitions

Copula Phase Transitions This research report addresses two purposes: [1] to incorporate phase transitions into a copula framework, and [2] to calculate the probability of defaulting in the ...
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Description: This research report addresses two purposes: [1] to incorporate phase transitions into a copula framework, and [2] to calculate the probability of defaulting in the context of a portfolio of correlated mortgages when a contagion effect exists. Understanding and measuring the effects that contagion has on the probability of defaulting, for both single assets and portfolios of assets, are crucial to collateralized debt obligation [CDO] markets.
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- Authors: Michael A Ekhaus
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Technology & Applications>Analytics and informatics

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Copula Phase Transitions