FACTOR MODEL FOR SYNTHETIC CDO USING BIVARIATE T-DISTRIBUTION

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Other Title
  • Synthetic CDOのファクターモデルのt分布族への展開

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Abstract

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.

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Details 詳細情報について

  • CRID
    1390853649760897024
  • NII Article ID
    120005614233
  • NII Book ID
    AA12677220
  • DOI
    10.15002/00011320
  • HANDLE
    10114/10628
  • ISSN
    21879923
  • Text Lang
    ja
  • Data Source
    • JaLC
    • IRDB
    • CiNii Articles
  • Abstract License Flag
    Allowed

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