Abstract: The recent financial crisis has revealed inefficiencies of methods used in credit risk management. The rapid development of the credit market in the past decade was due to new possibilities that were offered by innovative credit derivatives like CDS, default baskets, collateralized debt obligations (CDOs). We analyse the European market of standardized CDOs using tranches of iTraxx index in the periods before and during the global financial crisis. We compare pricing methods based on different multivariate copula functions. The value of a CDO strongly depends on current economic conditions; therefore, correlations implied from tranches can be seen as measures of the general health of the market. We exploit the time-series dynamics of the calibrated copula parameters and model their joint distribution. We asses the changing risk of iTraxx tranches by calculating Value at Risk over time. For better understanding of the nature of the dependence that we try to capture with copula functions, we investigate the relations between the implied parameters and observable indicators of economic and financial conditions.