• DocumentCode
    2411267
  • Title

    The Mixed G-VG Copula Models and LHP Approximation for CDO Pricing

  • Author

    Chen, Jianli ; Zhang, Biyuan ; Li, Shenghong

  • fYear
    2011
  • fDate
    21-23 Oct. 2011
  • Firstpage
    456
  • Lastpage
    459
  • Abstract
    This paper presents an extension of the popular large homogeneous portfolio(LHP) approach to the pricing of CDOs, where the involved distributions are mixtures of Gaussian distribution and VG distribution. We consider the fat-tailed G-VG copula model which can effectively model "correlation skews" in CDO pricing. Our new model may bring more flexibility into the dependence structure.
  • Keywords
    Approximation methods; Computational modeling; Correlation; Gaussian distribution; Mathematical model; Portfolios; Pricing; CDO; LHP approximation; copula; factor model; tranche;
  • 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.2011.294
  • Filename
    6086233
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2411267