کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077182 1374120 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparison results for exchangeable credit risk portfolios
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Comparison results for exchangeable credit risk portfolios
چکیده انگلیسی

This paper is dedicated to risk analysis of credit portfolios. Assuming that default indicators form an exchangeable sequence of Bernoulli random variables and as a consequence of de Finetti's theorem, default indicators are Binomial mixtures. We can characterize the supermodular order between two exchangeable Bernoulli random vectors in terms of the convex ordering of their corresponding mixture distributions. Thus we can proceed to some comparisons between stop-loss premiums, CDO tranche premiums and convex risk measures on aggregate losses. This methodology provides a unified analysis of dependence for a number of CDO pricing models based on factor copulas, multivariate Poisson and structural approaches.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 3, June 2008, Pages 1118-1127
نویسندگان
, ,