Pricing distressed CDOs with stochastic recovery

DOI10.1007/s11147-009-9049-yzbMath1213.91158OpenAlexW2039839615MaRDI QIDQ541587

Rudi Zagst, Stephan Höcht

Publication date: 7 June 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9049-y

zbMATH Keywords

CDOnested archimedean copulastochastic recovery

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Dependent defaults and losses with factor copula models ⋮ Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case ⋮ Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications ⋮ A new R package for actuarial survival models

Cites Work

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• An introduction to copulas.
• Constructing hierarchical archimedean copulas with Lévy subordinators
• Sampling Archimedean copulas
• A probabilistic interpretation of complete monotonicity
• CDO pricing with nested Archimedean copulas
• Some Generalized Functions for the Size Distribution of Income
• Sampling nested Archimedean copulas
• Hierarchies of Archimedean copulas
• Families of Multivariate Distributions

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