A CDO pricing model based on the mixture copula

zbMATH Open1289.91162MaRDI QIDQ2860186FDOQ2860186

Authors: Jianli Chen, Zhen Liu, Qunfang Bao, Shenghong Li 

Publication date: 19 November 2013

Published in: Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)

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zbMATH Keywords

copulafactor modelstochastic correlationcorrelation smileCDO pricing model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cited In (22)

• Quadratic transform approximation for CDO pricing in multifactor models
• Pricing synthetic CDO with multiparameter Archimedean copula models
• Pricing of CDOs based on the multivariate Wang transform
• Using distortions of copulas to price synthetic CDOs
• Credit risk dependence modeling with dynamic copula: an application to CDO tranches
• Correlation smile matching for collateralized debt obligation tranches with \(\alpha \)-stable distributions and fitted Archimedean copula models
• The market model of CDO spreads
• Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
• Stochastic increase in CDS and CDO portfolio premiums
• 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
• Empirical copulas for CDO tranche pricing using relative entropy
• A generic one-factor Lévy model for pricing synthetic CDOs
• Joint distributions of portfolio losses and exotic portfolio products
• Pricing CDOs with state-dependent stochastic recovery rates
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• Pricing a CDO on stochastically correlated underlyings
• Modelling credit default swap spreads by means of normal mixtures and copulas
• Copula dynamics in CDOs
• A Copula-Based Model of the Term Structure of CDO Tranches
• On the term structure of loss distributions: a forward model approach
• Generalized hyperbolic distributions: Theory and applications to CDO pricing.

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