A CDO pricing model based on the mixture copula

MaRDI QIDQ2860186zbMATH OpenFDO

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)

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)

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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
• Pricing CDOs with state-dependent stochastic recovery rates
• Joint distributions of portfolio losses and exotic portfolio products
• 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
• Generalized hyperbolic distributions: Theory and applications to CDO pricing.
• On the term structure of loss distributions: a forward model approach

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