Empirical copulas for CDO tranche pricing using relative entropy

DOI10.1142/S0219024907004391zbMATH Open1291.91222OpenAlexW1981444257MaRDI QIDQ5169985FDOQ5169985

Authors: E. A. Medova, Seung W. Yang, M. A. H. Dempster 

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004391

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zbMATH Keywords

copulaentropynonparametric estimationCDOportfolio credit risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) 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) Portfolio theory (91G10) Credit risk (91G40)

Cites Work

• A new approach to variable metric algorithms
• Information Theory and Statistical Mechanics
• The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Title not available (Why is that?)
• Dual Methods in Entropy Maximization. Application to Some Problems in Crystallography

Cited In (6)

• A copula entropy approach to correlation measurement at the country level
• Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing
• A maximum (non-extensive) entropy approach to equity options bid-ask spread
• Maximum entropy distributions inferred from option portfolios on an asset
• Utility valuation of multi-name credit derivatives and application to CDOs
• A Family of Maximum Entropy Densities Matching Call Option Prices

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