• DocumentCode
    2128951
  • 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
  • fYear
    2009
  • fDate
    20-22 Sept. 2009
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ICMSS.2009.5303115
  • Filename
    5303115
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2128951