Identities and inequalities for CDO tranche sensitivities
نویسندگان
چکیده
منابع مشابه
Cdo Tranche Sensitivities in the Gaussian Copula Model
We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, for a homogeneous portfolio governed by the onefactor Gaussian copula. Similar results are also derived for a Poisson-mixture model.
متن کاملStein's method and zero bias transformation for CDO tranche pricing
We propose an original approximation method, which is based on the Stein’s method and the zero bias transformation, to calculate CDO tranches in the general factor framework. We establish first-order correction terms for the Gaussian and the Poisson approximations respectively and we estimate the approximation errors. The application to the CDOs pricing consists of combining the two approximati...
متن کاملEmpirical Copulas for Cdo Tranche Pricing Using Relative Entropy
We discuss the general optimization problem of choosing a copula with minimum entropy relative to a specified copula and a computationally intensive procedure to solve its dual. These techniques are applied to constructing an empirical copula for CDO tranche pricing. The empirical copula is chosen to be as close as possible to the industry standard Gaussian copula while ensuring a close fit to ...
متن کاملFactor Distributions Implied by Quoted Cdo Spreads and Tranche Pricing
The rapid pace of innovation in the market for credit risk has given rise to a liquid market in synthetic collateralised debt obligation (CDO) tranches on standardised portfolios. To the extent that tranche spreads depend on default dependence between different obligors in the reference portfolio, quoted spreads can be seen as aggregating the market views on this dependence. In a manner reminis...
متن کاملThe static hedging of CDO tranche correlation risk
This article gives examples illustrating the static hedging of CDO correlation risk. Changes in correlation result in changes in the relative portioning out of the total expected loss of a reference portfolio to the different tranches. Thus, portfolios with low correlation risk contains a number of CDO tranches whose weights are adjusted so that the daily changes in the mark-tomarket values of ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2013
ISSN: 0973-9599
DOI: 10.31390/cosa.7.3.05