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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
ISSN/eISSN0895-7177
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
DOI10.1016/j.mcm.2012.06.038
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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
被引频次:4[WOS]   [WOS记录]     [WOS相关记录]
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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