摘要翻译：
最近在信用违约互换建模中出现的“相关性崩溃”，即模型相关性必须超过100%才能再现超验部分的市场价格，本文对此进行了分析，认为这是一种根本性的市场不一致，而不是具体模型的不足。因此，在这种情况下，市场面临套利的可能性。给出了特定条件下套利投资组合的一般构造。
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英文标题：
《Correlation breakdown, copula credit default models and arbitrage》
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作者：
Rodanthy Tzani, Alexios P. Polychronakos
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最新提交年份：
2009
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market inconsistency rather than an inadequacy of the specific model. As a consequence, markets under such conditions are exposed to the possibility of arbitrage. The general construction of arbitrage portfolios under specific conditions is presented.
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PDF链接：
https://arxiv.org/pdf/0908.4299