Pricing a CDO on stochastically correlated underlyings

DOI10.1080/14697680802629418zbMath1202.91317OpenAlexW2059328523MaRDI QIDQ3557568

Marcos Escobar, Rudi Zagst, Barbara Götz, Luis A. Seco

Publication date: 23 April 2010

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

Full work available at URL: https://doi.org/10.1080/14697680802629418

zbMATH Keywords

principal component analysismethod of momentsCDOstochastic covariance matrixtrinomial-trees

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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