发表状态 | 已发表Published |
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
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ISSN/eISSN | 0895-7177 |
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 |
DOI | 10.1016/j.mcm.2010.05.012 |
URL | 查看来源 |
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 | |
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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