Gaussian Copula

On Default Correlation
David X. Li
The Journal of Fixed Income Spring 2000, 9 (4) 43-54; DOI: https://doi.org/10.3905/jfi.2000.319253

Valuing Credit Derivatives Using an Implied Copula Approach
John C. Hull and Alan D. White
The Journal of Derivatives Winter 2006, 14 (2) 8-28; DOI: https://doi.org/10.3905/jod.2006.667547

The One-Factor Gaussian Copula Applied To CDOs
Arturo Cifuentes and Georgios Katsaros
The Journal of Structured Finance Fall 2007, 13 (3) 60-71; DOI: https://doi.org/10.3905/jsf.2007.698656

The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing
Anna Kalemanova, Bernd Schmid and Ralf Werner
The Journal of Derivatives Spring 2007, 14 (3) 80-94; DOI: https://doi.org/10.3905/jod.2007.681815 

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios
Lionel Martellini and Jean-Christophe Meyfredi
The Journal of Fixed Income Summer 2007, 17 (1) 5-15; DOI: https://doi.org/10.3905/jfi.2007.688961

Modeling Term Structure of Default Correlation
Sira Suchintabandid
The Journal of Derivatives Summer 2015, 22 (4) 26-36; DOI: https://doi.org/10.3905/jod.2015.22.4.026

A Comparative Analysis of Correlation Approaches in Finance
Claudio Albanese, David Li, Edgar Lobachevskiy and Gunter Meissner
The Journal of Derivatives Winter 2013, 21 (2) 42-66; DOI: https://doi.org/10.3905/jod.2013.21.2.042

Factor Copulas
Martijn van der Voort
The Journal of Derivatives Spring 2007, 14 (3) 94-102; DOI: https://doi.org/10.3905/jod.2007.681816

Correlation Trading Strategies: Opportunities and Limitations
Gunter Meissner
The Journal of Trading Fall 2016, 11 (4) 14-32; DOI: https://doi.org/10.3905/jot.2016.11.4.014

Inflated Ratings on Pre-Crisis CDOs: A Deeper Look
Mark Adelson
The Journal of Structured Finance Summer 2016, 22 (2) 37-47; DOI: https://doi.org/10.3905/jsf.2016.22.2.037