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Goldman secondary CLO trader recommends play on prepayments
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Spanish CDS tightens despite bond yield rise
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Creditflux Newsletter

May 2011

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Top Story

In defence of the Gaussian copula

From the beginning of the basket credit derivatives story, practitioners looked for a benchmark that would capture the dependence between several intricate risks, in particular between underlying default events and credit spread moves. Rapidly, the Gaussian copula model (GCM) of Li (2000) was adopted almost unanimously by major financial institutions. The…