By Jean-Pierre Fouque
ISBN-10: 1848551967
ISBN-13: 9781848551961
The most subject of this quantity is credits probability and credits derivatives. contemporary advancements in monetary markets convey that acceptable modeling and quantification of credits threat is key within the context of recent complicated based monetary items. The reader will locate numerous issues of view on credits hazard while checked out from the point of view of Econometrics and monetary arithmetic. the amount includes 11 contributions by means of either practitioners and theoreticians with services in monetary markets, generally, and econometrics and mathematical finance specifically. The problem of modeling defaults and their correlations is addressed, and new effects on copula, diminished shape and structural types, and the top-down method are offered. After the so-called subprime challenge that hit international markets in the summertime of 2007, the quantity is especially well timed and may be beneficial to researchers within the quarter of credits chance.
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Additional resources for Econometrics and Risk Management, Volume 22 (Advances in Econometrics)
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An immediate outcome of Le´vy process modeling of the default processes would be the more accurate pricing of individual tranches within a CDO. Fatter tails allocated to the probabilities of default modeling would provide for higher default intensities at the equity tranche and also at the senior tranche. This would imply that compared to the Gaussian Copula method, an NIG method is likely to produce higher theoretical spreads for equity and senior tranches, and lower spread for the mezzanine tranche.
2. 0Þ ; PÞ, where P is a pre-specified martingale measure. The filtration (Ft)(tZ0) satisfies the usual conditions and the initial filtration F0 is trivial. There is also a finite time horizon T with F ¼ FT. The remaining notations used in this paper are described as follows. Ik Rk lk tk Ti li ei Bi Notional amount for asset k, k ¼ 1, 2, . . , K Recovery rate for asset k Default intensity for asset k Default time for asset k The payment date in CDO, i ¼ 1, 2, . . , n. We assume that for a standard CDO, all tranches are paid interest at the same time points The total amount of loss in the portfolio at time Ti The total amount of loss allocated to the tranche at Ti The price of a default-free zero coupon bond with maturity Ti and face value of $1 at present time Empirical Study of Pricing and Hedging Collateralized Debt Obligation 23 The pricing of a CDO consists of pricing the single tranches that make up the CDO structure.
A comparative analysis of CDO pricing models. htm Chen, R. , & Zhang, J. (2003). Pricing large credit portfolios with Fourier inversion. , & Garleanu, N. (2001). Risk and valuation of collateralized debt obligations. htm 54 LIJUAN CAO ET AL. Elizalde, A. (2004). Credit risk models IV: Understanding and pricing CDOs. htm Finger, C. C. (2004). Issues in the pricing of synthetic CDOs. The Journal of Credit Risk, 1(1), 113–124. Gibson, M. S. (2004). Understanding the risk of synthetic CDOs. Available at www.
Econometrics and Risk Management, Volume 22 (Advances in Econometrics) by Jean-Pierre Fouque
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