کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098865 | 1376965 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Pricing of CDOs based on the multivariate Wang transform
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Pricing of CDOs based on the multivariate Wang transform Pricing of CDOs based on the multivariate Wang transform](/preview/png/5098865.png)
چکیده انگلیسی
This paper extends the one-factor Gaussian copula model, the standard market model for valuing CDOs, based on the multivariate Wang transform. Unlike the existing models, our model calibrates the parameter associated with a risk adjustment for default threshold, not correlation parameter, which always exists and is unique for any market price of CDO tranche. A Student t-copula model is also considered within the same framework to describe a fat-tail distribution observed in the actual market. Through numerical experiments, it is shown that our model provides a better fit to the market data compared with the existing models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 11, November 2010, Pages 2245-2258
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 11, November 2010, Pages 2245-2258
نویسندگان
Masaaki Kijima, Shin-ichi Motomiya, Yoichi Suzuki,