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

Authors: Zhe Chen, Qunfang Bao, Shenghong Li, Jianli Chen 

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

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• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
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• Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models
• CDO tranche sensitivities in the Gaussian copula model

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 (10)

• Quadratic transform approximation for CDO pricing in multifactor models
• Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models
• CDO tranche sensitivities in the Gaussian copula model
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity
• Joint distributions of portfolio losses and exotic portfolio products
• Pricing a CDO on stochastically correlated underlyings
• Evaluation of cumulative random shocks generated from a semi-Markov modulated Poisson process and its application to CDO pricing
• A CDO pricing model based on the mixture copula

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