The Market Model of CDO Spreads

• Autorzy: Dariusz Gątarek , Vesselin Petrov , Athanasios Stavrou
• Języki publikacji: EN

Abstrakty

EN

In this paper we present a new arbitrage-free bottom up model of correlated defaults, based on a special approach to systematic and idiosyncratic risks for individual obligors. The model admits several attractive features, like consistency with currency and interest rate models, as well as numerical tractability and flexibility, making it capable to fit the market for practically all self consistent CDO tranche prices. Its background is rather remote from other approaches, like copulas and point processes, so our presentation is detailed. (original abstract)

Słowa kluczowe

EN

Multidimensional copula functions; Debt securities; Economic process modeling

PL

Wielowymiarowa funkcja powiązań; Papiery dłużne; Modelowanie procesów gospodarczych

• Czasopismo: Control and Cybernetics
• Rocznik: 2015
• Tom: 44
• Numer: nr 1
• Strony: 149--162

Twórcy

autor

Dariusz Gątarek

• Systems Research Institute, Polish Academy of Sciences

autor

Vesselin Petrov

• Glencore UK Ltd., London

autor

Athanasios Stavrou

• Glencore UK Ltd., London

Bibliografia

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