Empirical copulas for CDO tranche pricing using relative entropy

DOI10.1142/S0219024907004391MaRDI QIDQ5169985zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

CDOcopulaentropynonparametric estimationportfolio credit risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A new approach to variable metric algorithms
• Dual Methods in Entropy Maximization. Application to Some Problems in Crystallography
• scientific article; zbMATH DE number 1440433 (Why is no real title available?)
• Information Theory and Statistical Mechanics
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations

Cited in

(6)

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

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