Тип публикации: доклад, тезисы доклада, статья из сборника материалов конференций

Год издания: 2010

Ключевые слова: Cdo, Default correlation, Eventology, Gaussian copula, Multiplicative approximation, Wide dependence of events, Information technology, Automation

Аннотация: This paper addresses the pricing of tranches of collateralized debt obligations. We first examine the one-factor Gaussian copula model that has become the market standard. Then we present a new approach to model parametrically a dependence structure. Our approach is based on wide dependence theory. It allows creating an eventologicПоказать полностьюal distribution that has different dependence structures using a 2-multiplicative approximation. Eventually, we use a numerical example to compare these models.

Журнал: Proceedings of the IASTED International Conference on Automation, Control, and Information Technology - Control, Diagnostics, and Automation, ACIT-CDA 2010

Номера страниц: 297-300

• Slepov D.S. (Krasnoyarsk State Institute for Trade and Economics, Institute of Economics, Management and Environmental Studies, Siberian Federal University, Krasnoyarsk, Russian Federation)

• Scopus
• Ядро РИНЦ (eLIBRARY.RU)