Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula model

DOI10.1016/j.amc.2012.09.014zbMath1309.91139OpenAlexW2092254518MaRDI QIDQ2018976

Qunfang Bao, Zhe Chen, Jian-Li Chen, Sheng-Hong Li

Publication date: 26 March 2015

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2012.09.014

zbMATH Keywords

stochastic correlationCDO pricingmixture copula modelrandom factor loadings

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• CDO pricing using single factor \(\mathcal M_{G-\mathcal{NI}G}\) copula model with stochastic correlation and random factor loading
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research