- Tytuł:
- The market model of CDO spreads
- Autorzy:
-
Gątarek, D.
Petrov, V.
Stavrou, A. - Powiązania:
- https://bibliotekanauki.pl/articles/206047.pdf
- Data publikacji:
- 2015
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
CDO pricing
Marshall-Olkin copula
bottom-up approach - Opis:
- In this paper we present a new arbitrage-free bottomup model of correlated defaults, based on a special approach to systematic and idiosyncratic risks for individual obligors. The model admits several attractive features, like consistency with currency and interest rate models, as well as numerical tractability and flexibility, making it capable to fit the market for practically all self consistent CDO tranche prices. Its background is rather remote from other approaches, like copulas and point processes, so our presentation is detailed.
- Źródło:
-
Control and Cybernetics; 2015, 44, 1; 149-162
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł