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ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH - MaRDI portal

ON THE TERM STRUCTURE OF LOSS DISTRIBUTIONS: A FORWARD MODEL APPROACH

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Publication:5169990

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DOI10.1142/S0219024907004366zbMath1291.91226MaRDI QIDQ5169990

J. Sidenius

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

copula model CDO pricing CDO term structure copula chain forward base correlations forward 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)

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A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING ⋮ FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH ⋮ Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models

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