期刊名称：Finance Publications / Centre for Financial Research, Cambridge University
出版年度：2007
卷号：2007
出版社：Cambridge University
摘要：We discuss the general optimization problem of choosing a copula
with minimum entropy relative to a specied copula and a computationally
intensive procedure to solve its dual. These techniques are applied to
constructing an empirical copula for CDO tranche pricing. The empirical
copula is chosen to be as close as possible to the industry standard Gaussian
copula while ensuring a close t to market tranche quotes. We nd
that the empirical copula performs noticeably better than the base correlation
approach in pricing non-standard tranches and that the market view
of default dependence is inuenced by maturity.
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