Title :
Collateralized Debt Obligation Pricing with an Alpha-stable Copula
Author :
Zhang, Biyuan ; Li, Shenghong
Author_Institution :
Dept. of Math., Zhejiang Univ., Hangzhou, China
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;
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
DOI :
10.1109/BCGIn.2011.38
