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2013-07-09Diskussionspapier DOI: 10.18452/4472
CDO Surfaces Dynamics
dc.contributor.authorChoros-Tomczyk, Barbara
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorOkhrin, Ostap
dc.date.accessioned2017-06-16T00:52:48Z
dc.date.available2017-06-16T00:52:48Z
dc.date.created2013-08-01
dc.date.issued2013-07-09
dc.date.submitted2013-07-09
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5124
dc.description.abstractModelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data analysis and dimension reduction methods, where the change in time is linear but the shape is nonparametric. The study provides an empirical analysis based on iTraxx Europe tranches and proposes an application to curve trading strategies. The DSFM allows us to describe the dynamics of all the tranches for all available maturities and series simultaneously which yields better understanding of the risk associated with trading CDOs and other structured products.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectsemiparametric modeleng
dc.subjectdynamic factor modeleng
dc.subjectbase correlationeng
dc.subjectcollateralized debt obligationeng
dc.subjectcurve tradeeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleCDO Surfaces Dynamics
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100211368
dc.identifier.doihttp://dx.doi.org/10.18452/4472
local.edoc.pages33
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2013
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2013,32

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