A semiparametric factor model for CDO surfaces dynamics

DOI10.1016/J.JMVA.2015.09.002MaRDI QIDQ268745zbMATHOpenAlexFDO

Authors Barbara Choroś-Tomczyk, Ostap Okhrin, Wolfgang K. 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 modeldynamic factor modelCDOcurve tradesurfaces dynamics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Recommendations

• Dynamic semiparametric factor models in risk neutral density estimation
• Copula dynamics in CDOs
• The determinants of CDS spreads: evidence from the model space
• Estimation and evaluation of the term structure of credit default swaps: An empirical study
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches

Cites work

• scientific article; zbMATH DE number 5828468 (Why is no real title available?)
• scientific article; zbMATH DE number 2222292 (Why is no real title available?)
• A partial overview of the theory of statistics with functional data
• A practical guide to splines.
• Contributions in infinite-dimensional statistics and related topics. Selected papers from the 3rd international workshop on functional and operatorial statistics (IWFOS'2014), Stresa, Italy, June 19--21, 2014
• Credit risk: Modelling, valuation and hedging
• Determining the Number of Factors in the General Dynamic Factor Model
• Estimation and testing for spatially indexed curves with application to ionospheric and magnetic field trends
• Functional Convex Averaging and Synchronization for Time-Warped Random Curves
• Functional data analysis
• Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series
• Inference for functional data with applications
• Nonparametric functional data analysis. Theory and practice.
• Risk patterns and correlated brain activities. Multidimensional statistical analysis of fMRI data in economic decision making study
• Some advances on semi-parametric functional data modelling
• Some asymptotic results on generalized penalized spline smoothing
• Statistical tools to analyze data representing a sample of curves
• Structured credit portfolio analysis, baskets \& CDOs
• Time series modelling with semiparametric factor dynamics
• Variance swap dynamics

Cited in

(4)

• Dynamic semi-parametric factor model for functional expectiles
• Modelling spatio-temporal variability of temperature
• An introduction to recent advances in high/infinite dimensional statistics
• Dynamic semiparametric factor models in risk neutral density estimation

Describes a project that uses

Uses Software

• fda (R)

This page was built for publication: A semiparametric factor model for CDO surfaces dynamics

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q268745)