EMPIRICAL COPULAS FOR CDO TRANCHE PRICING USING RELATIVE ENTROPY

DOI10.1142/S0219024907004391zbMath1291.91222MaRDI QIDQ5169985

E. A. Medova, Seung W. Yang, Michael 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

zbMATH Keywords

copula; entropy; nonparametric estimation; CDO; portfolio credit risk

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

91G40: Credit risk

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