{"id":"https://openalex.org/W1965735822","doi":"https://doi.org/10.1142/s0219622006002076","title":"ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS","display_name":"ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS","publication_year":2006,"publication_date":"2006-09-01","ids":{"openalex":"https://openalex.org/W1965735822","doi":"https://doi.org/10.1142/s0219622006002076","mag":"1965735822"},"language":"en","primary_location":{"id":"doi:10.1142/s0219622006002076","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622006002076","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology &amp; Decision Making","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100741321","display_name":"Ping Li","orcid":"https://orcid.org/0009-0000-6432-7211"},"institutions":[{"id":"https://openalex.org/I82880672","display_name":"Beihang University","ror":"https://ror.org/00wk2mp56","country_code":"CN","type":"education","lineage":["https://openalex.org/I82880672"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"PING LI","raw_affiliation_strings":["Department of Finance, Beihang University, Beijing 100083, China"],"affiliations":[{"raw_affiliation_string":"Department of Finance, Beihang University, Beijing 100083, China","institution_ids":["https://openalex.org/I82880672"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016552260","display_name":"Hou-Sheng Chen","orcid":null},"institutions":[{"id":"https://openalex.org/I82880672","display_name":"Beihang University","ror":"https://ror.org/00wk2mp56","country_code":"CN","type":"education","lineage":["https://openalex.org/I82880672"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"HOUSHENG CHEN","raw_affiliation_strings":["Department of Finance, Beihang University, Beijing 100083, China"],"affiliations":[{"raw_affiliation_string":"Department of Finance, Beihang University, Beijing 100083, China","institution_ids":["https://openalex.org/I82880672"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100638710","display_name":"Xiaotie Deng","orcid":"https://orcid.org/0000-0002-5282-6467"},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"XIAOTIE DENG","raw_affiliation_strings":["Department of Computer Science, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5026000940","display_name":"Shunming Zhang","orcid":"https://orcid.org/0000-0003-2961-7699"},"institutions":[{"id":"https://openalex.org/I41156924","display_name":"Victoria University of Wellington","ror":"https://ror.org/0040r6f76","country_code":"NZ","type":"education","lineage":["https://openalex.org/I41156924"]}],"countries":["NZ"],"is_corresponding":false,"raw_author_name":"SHUNMING ZHANG","raw_affiliation_strings":["School of Economics and Finance, Victoria University of Wellington, Wellington, New Zealand"],"affiliations":[{"raw_affiliation_string":"School of Economics and Finance, Victoria University of Wellington, Wellington, New Zealand","institution_ids":["https://openalex.org/I41156924"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5100741321"],"corresponding_institution_ids":["https://openalex.org/I82880672"],"apc_list":null,"apc_paid":null,"fwci":1.2304,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.83023242,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"05","issue":"03","first_page":"483","last_page":"493"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9940000176429749,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9876999855041504,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/collateralized-debt-obligation","display_name":"Collateralized debt obligation","score":0.9139556884765625},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.805633544921875},{"id":"https://openalex.org/keywords/credit-derivative","display_name":"Credit derivative","score":0.7731494903564453},{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.6128037571907043},{"id":"https://openalex.org/keywords/synthetic-cdo","display_name":"Synthetic CDO","score":0.5618161559104919},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5152388215065002},{"id":"https://openalex.org/keywords/debt","display_name":"Debt","score":0.4869345426559448},{"id":"https://openalex.org/keywords/itraxx","display_name":"iTraxx","score":0.47923925518989563},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.4566565752029419},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.43724754452705383},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.38432955741882324},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3181433081626892},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.29421576857566833},{"id":"https://openalex.org/keywords/credit-valuation-adjustment","display_name":"Credit valuation adjustment","score":0.2055259644985199},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.10829567909240723},{"id":"https://openalex.org/keywords/collateral","display_name":"Collateral","score":0.06799972057342529}],"concepts":[{"id":"https://openalex.org/C86537402","wikidata":"https://www.wikidata.org/wiki/Q1108930","display_name":"Collateralized debt obligation","level":3,"score":0.9139556884765625},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.805633544921875},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.7731494903564453},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.6128037571907043},{"id":"https://openalex.org/C21780383","wikidata":"https://www.wikidata.org/wiki/Q7662723","display_name":"Synthetic CDO","level":5,"score":0.5618161559104919},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5152388215065002},{"id":"https://openalex.org/C120527767","wikidata":"https://www.wikidata.org/wiki/Q3196867","display_name":"Debt","level":2,"score":0.4869345426559448},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.47923925518989563},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.4566565752029419},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43724754452705383},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.38432955741882324},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3181433081626892},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.29421576857566833},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.2055259644985199},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.10829567909240723},{"id":"https://openalex.org/C2777910564","wikidata":"https://www.wikidata.org/wiki/Q694563","display_name":"Collateral","level":2,"score":0.06799972057342529},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1142/s0219622006002076","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219622006002076","pdf_url":null,"source":{"id":"https://openalex.org/S207089700","display_name":"International Journal of Information Technology & Decision Making","issn_l":"0219-6220","issn":["0219-6220","1793-6845"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Information Technology &amp; Decision Making","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijitdm:v:05:y:2006:i:03:n:s0219622006002076","is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219622006002076","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:RePEc:wsi:ijitdm:v:05:y:2006:i:03:p:483-493","is_oa":false,"landing_page_url":"http://www.worldscinet.com/cgi-bin/details.cgi?type=html&amp;id=pii:S0219622006002076","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","score":0.44999998807907104,"display_name":"Partnerships for the goals"}],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W1908216331","https://openalex.org/W1979745524","https://openalex.org/W2082317778","https://openalex.org/W2105973145","https://openalex.org/W2119436275","https://openalex.org/W2127038280","https://openalex.org/W2282382832","https://openalex.org/W2482959850"],"related_works":["https://openalex.org/W1893283074","https://openalex.org/W2486356477","https://openalex.org/W1601562075","https://openalex.org/W341557335","https://openalex.org/W2025432972","https://openalex.org/W2024395068","https://openalex.org/W2569158125","https://openalex.org/W3122817323","https://openalex.org/W2892131616","https://openalex.org/W2747807590"],"abstract_inverted_index":{"Default":[0],"correlation":[1],"is":[2],"the":[3,7,21,27,33,55,90,99],"key":[4],"point":[5],"for":[6,35],"pricing":[8,56],"of":[9,24,39,57,92],"multi-name":[10,40,58],"credit":[11,41,59],"derivatives.":[12],"In":[13],"this":[14],"paper,":[15],"we":[16,67],"apply":[17,68],"copulas":[18],"to":[19,75],"characterize":[20],"dependence":[22],"structure":[23],"defaults,":[25],"determine":[26],"joint":[28],"default":[29,77],"distribution,":[30],"and":[31,63,84,96],"give":[32],"price":[34,89],"a":[36,72,93],"specific":[37,80],"kind":[38],"derivative":[42],"\u2014":[43],"collateralized":[44],"debt":[45],"obligation":[46],"(CDO).":[47],"We":[48],"also":[49],"analyze":[50,98],"two":[51],"important":[52],"factors":[53],"influencing":[54],"derivatives,":[60],"recovery":[61,82,86],"rates":[62,83],"copula":[64],"function.":[65],"Finally,":[66],"Clayton":[69],"copula,":[70],"in":[71],"numerical":[73],"example,":[74],"simulate":[76],"times":[78],"taking":[79],"underlying":[81],"average":[85],"rates,":[87],"then":[88,97],"tranches":[91],"given":[94],"CDO":[95],"results.":[100]},"counts_by_year":[{"year":2012,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
