A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity

MaRDI QIDQ3395482zbMATH OpenFDO

Authors Szu-Lang Liao, Miaosheng Chen, Fu-Ching Li

Publication date 1 September 2009

Full work available at URL http://ijims.ms.tku.edu.tw/mss/M20/M20N1/o20n18/index.html

zbMATH Keywords

factor copulaCDO-squaredCIR intensity modelindex tranche

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(1)

• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas

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