EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY

DOI10.1142/S0219024907004391zbMath1291.91222OpenAlexW1981444257MaRDI QIDQ5169985

E. A. Medova, Seung W. Yang, Michael A. H. Dempster

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004391

zbMATH Keywords

copulaentropynonparametric estimationCDOportfolio credit risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Credit risk (91G40)

Related Items (6)

A maximum (non-extensive) entropy approach to equity options bid-ask spread ⋮ A Family of Maximum Entropy Densities Matching Call Option Prices ⋮ Maximum entropy distributions inferred from option portfolios on an asset ⋮ Utility valuation of multi-name credit derivatives and application to CDOs ⋮ A copula entropy approach to correlation measurement at the country level ⋮ Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing

Cites Work

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• Information Theory and Statistical Mechanics
• Dual Methods in Entropy Maximization. Application to Some Problems in Crystallography
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• A new approach to variable metric algorithms
• The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations

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