A CDO pricing model based on the mixture copula

zbMATH Open1289.91162MaRDI QIDQ2860186

Jianli Chen, Shenghong Li, Zhen Liu, Qunfang Bao

Publication date: 19 November 2013

Published in: Applied Mathematics. Series A (Chinese Edition) (Search for Journal in Brave)

zbMATH Keywords

copulafactor modelstochastic correlationcorrelation smileCDO pricing model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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