Title :
A Dynamic Copula for CDO Pricing
Author :
Zhang, Biyuan ; Chen, Jianli ; Li, Shenghong
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;
Conference_Titel :
Computational and Information Sciences (ICCIS), 2011 International Conference on
Conference_Location :
Chengdu, China
Print_ISBN :
978-1-4577-1540-2
DOI :
10.1109/ICCIS.2011.30