Pricing synthetic CDO with MGB2 distribution

DOI10.4310/SII.2014.V7.N3.A1zbMATH Open1326.91031MaRDI QIDQ896409FDOQ896409

Authors: Qiurong Cui, Yong Ma 

Publication date: 9 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

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• Pricing distressed CDOs with stochastic recovery
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zbMATH Keywords

synthetic CDObase correlationcorrelation smileMGB2 distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Cited In (1)

• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

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