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

DOI10.1016/j.amc.2012.09.014zbMath1309.91139MaRDI QIDQ2018976

Qunfang Bao, Zhe Chen, Jian-Li Chen, Sheng-Hong 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 correlation; CDO pricing; mixture copula model; random factor loadings

Mathematics Subject Classification ID

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

91G40: Credit risk

Cites Work

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