STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS

DOI10.17654/DM028010049MaRDI QIDQ5076160

Remi Guillaume Bagré, Diakarya Barro, Frédéric Béré, Vini Yves Bernadin Loyara

Publication date: 16 May 2022

Published in: Advances and Applications in Discrete Mathematics (Search for Journal in Brave)

zbMATH Keywords

Archimedean copulasportfolio riskCDO pricingnested Archimedean copulasCDS portfoliodefault premiumsexpected premiums

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Inference from spatial processes (62M30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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• Tails of multivariate Archimedean copulas
• An introduction to copulas. Properties and applications
• Estimation of the value at risk using the stochastic approach of Taylor formula
• Coherent Measures of Risk
• MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS

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