发表状态 | 已发表Published |
题名 | Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions |
作者 | |
发表日期 | 2013 |
发表期刊 | Mathematical and Computer Modelling
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ISSN/eISSN | 0895-7177 |
卷号 | 57期号:3-4页码:570-583 |
摘要 | Noticing the heavy tail dependence phenomenon in the Collateralised Debt Obligation (CDO) markets, we utilize affine jump-diffusion processes involving Lévy stable distributions to model the systematic and idiosyncratic risk factors under the setting of intensity-based models. We further derive explicit formulae for the expected loss of CDO tranches under this modelling framework. © 2012 Elsevier Ltd. |
关键词 | Affine jump-diffusion processes Collateralised Debt Obligations (CDOs) Heavy tail dependence Intensity based model Lévy stable distributions |
DOI | 10.1016/j.mcm.2012.06.038 |
URL | 查看来源 |
收录类别 | SCIE |
语种 | 英语English |
WOS研究方向 | Computer Science ; Mathematics |
WOS类目 | Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied |
WOS记录号 | WOS:000311911700024 |
Scopus入藏号 | 2-s2.0-84870542411 |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/10521 |
专题 | 个人在本单位外知识产出 |
作者单位 | 1.Department of Mathematics,Swansea University Singleton Park,Swansea SA2 8PP,United Kingdom 2.Department of Statistics,University of Warwick Coventry,CV4 7AL,United Kingdom |
推荐引用方式 GB/T 7714 | Wu, Jianglun,Yang, Wei. Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions[J]. Mathematical and Computer Modelling, 2013, 57(3-4): 570-583. |
APA | Wu, Jianglun, & Yang, Wei. (2013). Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions. Mathematical and Computer Modelling, 57(3-4), 570-583. |
MLA | Wu, Jianglun,et al."Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions". Mathematical and Computer Modelling 57.3-4(2013): 570-583. |
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