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个人信息Personal Information
教授
博士生导师
硕士生导师
性别：男
毕业院校：大连理工大学
学位：博士
所在单位：金融与会计研究所
学科：投资学. 管理科学与工程
办公地点：经济管理学院D635
联系方式：qinxz@dlut.edu.cn
电子邮箱：qinxz@dlut.edu.cn
CDO pricing using single factor MG-NIG copula model with stochastic correlation and random factor loading
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论文类型：期刊论文
发表时间：2009-02-01
发表刊物：JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
收录刊物：SCIE
卷号：350
期号：1
页面范围：73-80
ISSN号：0022-247X
关键字：MG-NIG copula model; CDO; Stochastic correlation; Random factor loadings; Loss distribution
摘要：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.