Back to Search
Start Over
Invariance properties in the dynamic gaussian copula model *
Invariance properties in the dynamic gaussian copula model *
- Publication Year :
- 2017
-
Abstract
- We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{\'e}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{\'e}pey and Song (2017), with related invariance probability measures different from the pricing measure. This reflects a departure from the immersion property, whereby the default intensities of the surviving names and therefore the value of credit protection spike at default times. These properties are in line with the wrong-way risk feature of counterparty risk embedded in credit derivatives, i.e. the adverse dependence between the default risk of a counterparty and an underlying credit derivative exposure.
- Subjects :
- Quantitative Finance - Computational Finance
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1702.03232
- Document Type :
- Working Paper