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A Dynamic Copula for CDO Pricing

Copula method is widely used for modeling the portfolio credit risk. In this paper, we introduce a dynamic copula for CDO pricing. Because the most important parameter in CDO pricing model is the value of the portfolio loss dependent on time, so we give a dynamic estimation for portfolio loss with a random recovery. But this method cannot tell us how much the error of the loss distribution is, and then we utilize a saddle-point approximation approach to estimate the error of the loss distribution.