Some results in copulas and credit risk models

The theory of copulas is known to provide a useful tool for modelling dependence in integrated risk management. The approaches to risk measurement in the past focused on measuring the risk of individual obligor and then summing them up. In recent years, more attention is paid to the assessment of portfolio risk. This paper is an extensive examination of the Gaussian copula for default correlation. The accuracy of the assumptions underlying the Gaussian copula model. Our goal is to show that the use of a copula function different from the Gaussian copula can model such extreme events effectively.