Synthetic CDOのファクターモデルのt分布族への展開

DOI HANDLE

書誌事項

タイトル別名
  • FACTOR MODEL FOR SYNTHETIC CDO USING BIVARIATE T-DISTRIBUTION

この論文をさがす

抄録

We consider the price of Synthetic Collateralized Debt Obligation (CDO). The factor model for portfolio of default is originated by Vasicek [3]. In this paper, we extend it to the CDO model where credit defaults are assumed to be bivariate normal distributed to the model of t-distribution. We calculate prices of each CDO tranche under the assumption of the distribution between a common risk factor and the risk factors of each individual company. We compare the prices of tranches of Synthetic CDO in the normal distribution case and bivariate t-distribution case.

収録刊行物

キーワード

詳細情報 詳細情報について

  • CRID
    1390853649760897024
  • NII論文ID
    120005614233
  • NII書誌ID
    AA12677220
  • DOI
    10.15002/00011320
  • HANDLE
    10114/10628
  • ISSN
    21879923
  • 本文言語コード
    ja
  • データソース種別
    • JaLC
    • IRDB
    • CiNii Articles
  • 抄録ライセンスフラグ
    使用可

問題の指摘

ページトップへ