Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model

DOI10.1016/J.AMC.2012.09.014zbMATH Open1309.91139OpenAlexW2092254518MaRDI QIDQ2018976FDOQ2018976

Qunfang Bao, Jianli Chen, Zhe Chen, Shenghong Li

Publication date: 26 March 2015

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.09.014

zbMATH Keywords

stochastic correlationCDO pricingmixture copula modelrandom factor loadings

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Derivative securities (option pricing, hedging, etc.) (91G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading

Cited In (2)

• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• A CDO pricing model based on the mixture copula

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