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发表时间：2009-01-01

发表刊物：大连理工大学学报

期号：4

页面范围：587-593

ISSN号：1000-8608

摘要：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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