Pricing of CDOs based on the multivariate Wang transform

DOI10.1016/J.JEDC.2010.05.007zbMath1201.91200OpenAlexW2167843970MaRDI QIDQ609828

Yoichi Suzuki, Masaaki Kijima, Shin-Ichi Motomiya

Publication date: 1 December 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.05.007

zbMATH Keywords

Merton's structural modelmultivariate Wang transformone-factor Gaussian copula modelStudent \(t\) copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (2)

From insurance risk to credit portfolio management: a new approach to pricing CDOs ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula

Cites Work

• An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk
• A multi-quality model of interest rates
• A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks
• PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
• A Universal Framework for Pricing Financial and Insurance Risks
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• LÉVY SIMPLE STRUCTURAL MODELS

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