Show simple item record

2009-03-06Buch DOI: 10.18452/4178
CDO Pricing with Copulae
dc.contributor.authorChoroś, Barbara
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOkhrin, Ostap
dc.date.accessioned2017-06-15T23:52:56Z
dc.date.available2017-06-15T23:52:56Z
dc.date.created2009-04-23
dc.date.issued2009-03-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4830
dc.description.abstractModeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The presented method is used to reproduce the spreads of the iTraxx Europe tranches. The two-parameter model incorporates the fact that the risky assets of the CDO pool are chosen from six different industry sectors. The dependency among the assets from the same group is described with the higher value of the copula parameter, otherwise the lower value of the parameter is ascribed. Our approach outperforms the standard market pricing procedure based on the Gaussian distribution.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectCDOeng
dc.subjectCDSeng
dc.subjectmultifactor modelseng
dc.subjectmultivariate distributionseng
dc.subjectCopulaeeng
dc.subjectcorrelation smileeng
dc.subject.ddc330 Wirtschaft
dc.titleCDO Pricing with Copulae
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10097430
dc.identifier.doihttp://dx.doi.org/10.18452/4178
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages12
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2009
local.edoc.container-issue13
local.edoc.container-year2009
local.edoc.container-erstkatid2195055-6

Show simple item record