Correlation smile matching for collateralized debt obligation tranches with -stable distributions and fitted Archimedean copula models

DOI10.1080/14697680802464428zbMATH Open1182.91077OpenAlexW2077535197MaRDI QIDQ3404101FDOQ3404101

Authors: Dirk Prange, W. Scherer 

Publication date: 5 February 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22134

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zbMATH Keywords

copulascorrelation modelingcredit derivativescredit models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

Cites Work

• On the term structure of loss distributions: a forward model approach

Cited In (8)

• Pricing synthetic CDO with multiparameter Archimedean copula models
• A compendium of copulas
• Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model
• Stochastic increase in CDS and CDO portfolio premiums
• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• Fast solution of the Gaussian copula model
• Convergence of Archimedean copulas
• Copula dynamics in CDOs

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