Pricing synthetic CDO with MGB2 distribution

DOI10.4310/SII.2014.V7.N3.A1zbMath1326.91031MaRDI QIDQ896409

Yong Ma, Qiurong Cui

Publication date: 9 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

synthetic CDObase correlationcorrelation smileMGB2 distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32) Probability distributions: general theory (60E05) Credit risk (91G40)

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