Title :
Double Normal Inverse Gaussian Copula with Random Factor Loadings Model for Synthetic CDO Pricing
Author :
Wang, Chunfa ; Huang, Dingwei
Author_Institution :
Sch. of Finance, Zhejiang Univ. of Econonimcs & Finance, Hangzhou, China
Abstract :
This paper presents another version of the one factor double NIG copula model with random factor loadings. The model is used to price synthetic CDOs. We compare the properties of our new model with those of the Gaussian factor copula and the numerical results shows that the new model has produced a very good fit to market data and can improve the fit of the one factor Gaussian copula model.
Keywords :
Gaussian processes; econometrics; pricing; random processes; credit portfolio; double normal inverse Gaussian factor copula; one-factor double NIG copula model; random factor loading model; synthetic CDO pricing; Cost accounting; Distributed computing; Electronic mail; Finance; Load modeling; Parameter estimation; Portfolios; Pricing; Stochastic processes; Tail;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5303115
