摘要翻译：
本文提出了一个具有相关违约时间的copula传染混合模型。该模型包括众所周知的因子模型、系结模型和传染模型作为其特例。这样一个模型的关键优势是我们可以研究不同模型的相互作用及其定价影响。具体来说，我们对边际违约时间进行建模，以遵循一些耦合copula依赖结构的传染强度过程。我们应用总风险构造方法生成有序违约时间，并在存在指数衰减和交易对手风险的情况下，数值比较了不同模型对篮子CDSs和CDO的定价影响。
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英文标题：
《A la Carte of Correlation Models: Which One to Choose?》
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作者：
Harry Zheng
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage of such a model is that we can study the interaction of different models and their pricing impact. Specifically, we model the marginal default times to follow some contagion intensity processes coupled with copula dependence structure. We apply the total hazard construction method to generate ordered default times and numerically compare the pricing impact of different models on basket CDSs and CDOs in the presence of exponential decay and counterparty risk.
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PDF链接：
https://arxiv.org/pdf/1010.4053