CDOs, How far should we depart from Gaussian copulas?

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CDOs, How far should we depart from Gaussian copulas?

by Frederic Patras of the Université de Nice,
Jean-Pierre Lardy of JPLC, S.A.S.U., and
Francois Xavier Vialard of Ecole Normale Supérieure de Cachan

May 2009

Abstract: With hindsight, the subprime crisis highlighted the importance of high correlation regimes and systemic risks and contagion. It is mainly about them that this paper will focus on, in the context of the liquid index tranches but also for European Prime RMBS and SME securitizations.

Keywords: Subprime crisis, RMBS, systemic risk.

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