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Indexed by:期刊论文

Date of Publication:2022-06-29

Journal:数理统计与管理

Issue:6

Page Number:1082-1090

ISSN No.:1002-1566

Abstract:This paper discusses the CDO pricing with single factor model.where the probability distributions of common factor and idiosyncratic factor involved in asset values of CDO reference portfolio are mixtures of standard Gaussian distribution and NIG distribution.In addition,instead of flat correlation,the correlations that we consider are stochastic correlations.We mainly analyze the cases of stochastic correlation for Bernoulli structure and three state dependence structure.For deriving the fair spreads of CDO tranches,we present the semi-analytic approach.Moreover,we give the joint distribution of accumulated loss via Fourier transform and inverse Fourier transform.

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