| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1144081 | Systems Engineering Procedia | 2011 | 7 Pages |
Abstract
We calibrated the three-state version of the model to the history of iTraxx tranches and showed that the fitting ability of the model is much better than that of a corresponding one-factor LHC NIG model. We also introduced liquidity premiums into the Crash-NIG copula model and demonstrated that the actual credit crisis is substantially driven by liquidity effects.
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