Pricing synthetic CDO with MGB2 distribution

DOI10.4310/SII.2014.V7.N3.A1MaRDI QIDQ896409zbMATH OpenFDO

Authors Qiurong Cui, Yong Ma

Publication date 9 December 2015

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

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)

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• Using distortions of copulas to price synthetic CDOs
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• Pricing a CDO on stochastically correlated underlyings
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
• Pricing distressed CDOs with stochastic recovery
• Synthetic CDOs

Cited in

(1)

• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

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