DocumentCode
3064390
Title
Collateralized Debt Obligation Pricing with an Alpha-stable Copula
Author
Zhang, Biyuan ; Li, Shenghong
Author_Institution
Dept. of Math., Zhejiang Univ., Hangzhou, China
fYear
2011
fDate
29-31 July 2011
Firstpage
122
Lastpage
125
Abstract
This paper introduces a method of Collateralized Debt Obligation pricing by using the α-stable Copula with the stochastic recovery. As an extension to the Gaussian copula, stable distribution has a heavy-tailed distribution and more parameters, and so it will fit the actual market better than Gaussian copula.
Keywords
Gaussian processes; pricing; Gaussian copula; alpha-stable copula; collateralized debt obligation pricing; stochastic recovery; Correlation; Distribution functions; Load modeling; Portfolios; Pricing; Random variables; Stochastic processes; CDO pricing; copula; heavy-tailed; stable distribution; stochastic recovery;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Computing and Global Informatization (BCGIN), 2011 International Conference on
Conference_Location
Shanghai
Print_ISBN
978-1-4577-0788-9
Electronic_ISBN
978-0-7695-4464-9
Type
conf
DOI
10.1109/BCGIn.2011.38
Filename
6003863
Link To Document