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随机相关结构下单因子混合高斯模型CDO定价问题

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Date of Publication:2009-01-01

Journal:大连理工大学学报

Issue:4

Page Number:587-593

ISSN No.:1000-8608

Abstract:CDO is one of the most popular credit derivative products during the latest ten years,and the key issue is how to price the tranche.For solving this problem,by introducing the mixed Gaussian distribution,the single factor Gaussian mixture model with the stochastic correlation structure is established.Furthermore,the probability distribution of single asset is given,and the probability distribution of cumulative default loss of the whole portfolio pool is derived.At the same time,the explicit forms on Bernoulli stochastic correlation structure and symmetric stochastic correlation structure are obtained.Besides,based on analyzing the expected default leg and premium leg,according to the arbitrage-free principle,the fair credit spread of CDO tranche is derived.

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