کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4629452 1340581 2012 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
چکیده انگلیسی
In this paper, we introduce a mixture distribution of Gaussian and Variance Gamma distribution. Then we use the one-factor double mixture copula model to solve the problem of CDO pricing. Two cases of stochastic correlation and random factor loadings are considered. In each case, the unconditional characteristic function of accumulated loss is calculated and the loss distribution can therefore be derived by using the fast Fourier transform. The loss distribution of a large homogeneous portfolio is also derived. Furthermore, we analyze the numerical results.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 219, Issue 6, 25 November 2012, Pages 2909-2916
نویسندگان
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