A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity

首页 > 成果 > 详情

认领

导出

反馈

作者信息关键词期刊信息归属信息摘要

成果类型：

期刊论文

作者：

Liao, Szu-Lang;Chen, Miao-Sheng;Li, Fu-Ching

通讯作者：

Liao, S.-L.(liaosl@nccu.edu.tw)

作者机构：

[Liao, Szu-Lang] Department of Money and Banking, National Chengchi University, Taiwan

[Chen, Miao-Sheng] Department of Management Science, Nanhua University, Taiwan

[Li, Fu-Ching] Department of Finance, China Institute of Technology, Taiwan

[Liao, Szu-Lang] Department of Money and Banking, National Chengchi University, No 64, Chih-Nan Rd., Mucha, Taipei, 116, Taiwan

[Chen, Miao-Sheng] Department of Management Science, Nanhua University, No. 32, Chung Kung Li, Dalin, Chiayi, 62248, Taiwan

通讯机构：

Department of Money and Banking, National Chengchi University, Taiwan

语种：

英文

关键词：

CDO-Squared;CIR intensity model;Factor copula;Index tranche

期刊：

International Journal of Information and Management Sciences

ISSN：

1017-1819

年：

2009

卷：

期：

页码：

103-120

机构署名：

本校为其他机构

院系归属：

管理学院

摘要：

This study extends the double student's t factor copula models developed by Hull and White (2004) for valuing CDO-Squared. First, the assumptions of non-homogeneous recovery rates are adopted to fit realistic aggregate loss of CDO collateral. Second, a stochastic hazard rate is proposed using the CIR intensity process to resolve the problem of inability of constant intensity rate to capture instantaneous credit spread dynamics. To construct the default probability distribution of CDO-Squared, the factor copula model is derived using the two-stage probability bucketing method to approximate los...

反馈

产权有误：本人成果被他人认领

数据有误：数据基本信息有误

归属有误：成果的院系归属、机构署名归属有误

其他原因：

验证码：

看不清楚，换一个

确定

取消

成果认领

标题：

用户	作者	通讯作者	--
	请选择	请选择	--

确定

取消

A factor-copula based valuation of synthetic CDO-squared under a stochastic intensity

反馈

成果认领

提示

该栏目需要登录且有访问权限才可以访问