英文标题：
《Invariance properties in the dynamic gaussian copula model *》
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作者：
St\\\'ephane Cr\\\'epey (LaMME), Shiqi Song (LaMME)
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最新提交年份：
2017
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英文摘要：
We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{\\\'e}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{\\\'e}pey and Song (2017), with related invariance probability measures different from the pricing measure. This reflects a departure from the immersion property, whereby the default intensities of the surviving names and therefore the value of credit protection spike at default times. These properties are in line with the wrong-way risk feature of counterparty risk embedded in credit derivatives, i.e. the adverse dependence between the default risk of a counterparty and an underlying credit derivative exposure.
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中文摘要：
我们证明了Cr{}pey、Jeanblanc和Wu（2013）的动态高斯copula模型中的默认时间（或其任何极小值）是Cr{pey和Song（2017）意义上的不变性时间，相关的不变性概率测度不同于定价测度。这反映了与沉浸属性的背离，即存续名称的违约强度，因此信用保护的价值在违约时间达到峰值。这些属性符合信用衍生工具中嵌入的交易对手风险的错误方向风险特征，即交易对手违约风险与基础信用衍生工具风险之间的不利依赖关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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