Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula

DOI10.1007/S11464-016-0537-8zbMath1348.62232OpenAlexW2396584735MaRDI QIDQ335566

Zhijin Chen, Xiao Qian Wang, Jing-Ping Yang

Publication date: 2 November 2016

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-016-0537-8

zbMATH Keywords

order statistics\(k\)th realization derivativecollateralized debt obligation (CDO)multivariate Fréchet copula

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)

Uses Software

• CreditRisk+

Cites Work

• A class of multivariate copulas with bivariate Fréchet marginal copulas
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• Fast Pricing of Basket Default Swaps
• Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model

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