Correlation Structures of Correlated Binomial Models and Implied Default Distribution
نویسندگان
چکیده
منابع مشابه
Correlation Structures of Correlated Binomial Models and Implied Default Distribution
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the diff...
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ژورنال
عنوان ژورنال: Journal of the Physical Society of Japan
سال: 2008
ISSN: 0031-9015,1347-4073
DOI: 10.1143/jpsj.77.114802