Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing

DOI10.1007/S10287-013-0176-4MaRDI QIDQ2355189zbMATH OpenOpenAlexFDO

Authors Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. T. Rockafellar

Publication date 21 July 2015

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-013-0176-4

zbMATH Keywords

CDO pricingconvex optimizationconvex-concave-convex probabilitydistributionimplied copulaOR banking

Mathematics Subject Classification ID

Convex programming (90C25) Credit risk (91G40)

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Cites work

• A Mathematical Theory of Communication
• BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
• Empirical copulas for CDO tranche pricing using relative entropy
• Estimating option implied risk‐neutral densities using spline and hypergeometric functions
• Information and entropy econometrics -- editor's view.
• Minimum-relative-entropy calibration of asset-pricing models
• On the recovery of joint distributions from limited information
• Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity

Cited in

(1)

• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation

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Uses Software

• Portfolio Safeguard

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