A semiparametric factor model for CDO surfaces dynamics

DOI10.1016/j.jmva.2015.09.002zbMath1381.62268MaRDI QIDQ268745

Barbara Choroś-Tomczyk, Ostap Okhrin, Wolfgang Karl Härdle

Publication date: 15 April 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2015.09.002

zbMATH Keywords

semiparametric model; dynamic factor model; CDO; curve trade; surfaces dynamics

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

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

62G05: Nonparametric estimation

91G40: Credit risk

Uses Software

• fda (R)