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题名Pricing CDO tranches in an intensity based model with the mean reversion approach
作者
发表日期2010
发表期刊Mathematical and Computer Modelling
ISSN/eISSN0895-7177
卷号52期号:5-6页码:814-825
摘要

We discuss the phenomenon of mean reversion in credit risk market and propose a class of models, in the framework of intensity based model, where the default intensity is composed of a common component and a idiosyncratic component which are specified by independent mean reverting stochastic processes of the following Markovian type where θ≥0 is the long-term mean value, the parameter σ≥0 stands for the scaling of the volatility, and α(X(t),t) is the mean correction with the function α:R ×[0,∞)→x21A6;α(x,t)∈R being twice differentiable in x and differentiable in t, and W(t) is a Brownian motion. We demonstrate how this class of models can be used to price synthetic CDOs and present a closed-form solution of tranche spreads in synthetic CDOs. © 2010 Elsevier Ltd.

关键词Cashflow CDO Collateralized debt obligations (CDOs) Credit risk Intensity based model Mean reversion Synthetic CDO
DOI10.1016/j.mcm.2010.05.012
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收录类别SCIE ; SSCI
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:000279436300016
Scopus入藏号2-s2.0-77954173901
引用统计
被引频次:7[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/10528
专题个人在本单位外知识产出
作者单位
Department of Mathematics,Swansea University,Singleton Park, Swansea SA2 8PP,United Kingdom
推荐引用方式
GB/T 7714
Wu, Jianglun,Yang, Wei. Pricing CDO tranches in an intensity based model with the mean reversion approach[J]. Mathematical and Computer Modelling, 2010, 52(5-6): 814-825.
APA Wu, Jianglun, & Yang, Wei. (2010). Pricing CDO tranches in an intensity based model with the mean reversion approach. Mathematical and Computer Modelling, 52(5-6), 814-825.
MLA Wu, Jianglun,et al."Pricing CDO tranches in an intensity based model with the mean reversion approach". Mathematical and Computer Modelling 52.5-6(2010): 814-825.
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