Dynamic copula process

xDan · November 24th, 2005, 10:35 pm

I'm trying to find a paper on dynamic copula process. most of the paper I have read until recently, deal only with static copula which ar not in fact a process or some time garch that can not be used for practical pricing.

crazyhorse · November 25th, 2005, 10:24 am

crazyhorse · November 25th, 2005, 10:24 am

crazyhorse · November 25th, 2005, 10:26 am

There is a paper by a guy from BNP which deals with dynamic copulas, at least it say so in the abstract. DefaultRisk: Dynamic Copula Processes: A new way of modelling CDO tranches

xDan · November 25th, 2005, 4:25 pm

Thanks for the paper crazy horse, I have read only quickly. I found it well written and easy to understand.I will try to implement it!

crazyhorse · November 25th, 2005, 7:24 pm

Let us know how our results are!