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Indexed by:期刊论文

Date of Publication:2009-02-01

Journal:JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

Included Journals:SCIE

Volume:350

Issue:1

Page Number:73-80

ISSN No.:0022-247X

Key Words:MG-NIG copula model; CDO; Stochastic correlation; Random factor loadings; Loss distribution

Abstract:We consider the valuation of CDO tranches with single factor MG-NIG copula model, where the involved distributions are mixtures of Gaussian distribution and NIG distribution. In addition, we consider two cases for stochastic correlation and random factor loadings instead of constant factor loadings. We analyze the unconditional characteristic function of accumulated loss of the reference portfolio, and derive the loss distribution through the fast Fourier transform. Moreover, using the loss distribution and semi-analytic approach, we can get the CDO tranches spreads. (c) 2008 Elsevier Inc. All rights reserved.