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

DOI10.1080/14697680802464428MaRDI QIDQ3404101zbMATHOpenAlexFDO

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

zbMATH Keywords

copulascorrelation modelingcredit derivativescredit models

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(8)

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

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