DocumentCode
2411252
Title
A Dynamic Copula for CDO Pricing
Author
Zhang, Biyuan ; Chen, Jianli ; Li, Shenghong
fYear
2011
fDate
21-23 Oct. 2011
Firstpage
452
Lastpage
455
Abstract
Copula method is widely used for modeling the portfolio credit risk. In this paper, we introduce a dynamic copula for CDO pricing. Because the most important parameter in CDO pricing model is the value of the portfolio loss dependent on time, so we give a dynamic estimation for portfolio loss with a random recovery. But this method cannot tell us how much the error of the loss distribution is, and then we utilize a saddle-point approximation approach to estimate the error of the loss distribution.
Keywords
Approximation methods; Correlation; Educational institutions; Finance; Joints; Portfolios; Pricing; CDO pricing; dynamic copula; random recovery; saddle-point approximation;
fLanguage
English
Publisher
ieee
Conference_Titel
Computational and Information Sciences (ICCIS), 2011 International Conference on
Conference_Location
Chengdu, China
Print_ISBN
978-1-4577-1540-2
Type
conf
DOI
10.1109/ICCIS.2011.30
Filename
6086232
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