THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING CDO Pricing with Copulae Barbara Choros Wolfgang Härdle Ostap Okhrin ABSTRACT Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default inte…