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Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
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Wu, Jiang-Lun and Yang, Wei (2013) Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions. Mathematical and Computer Modelling, Volume 57 (Number 3-4). pp. 570-583. doi:10.1016/j.mcm.2012.06.038 ISSN 0895-7177.
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Official URL: http://dx.doi.org/10.1016/j.mcm.2012.06.038
Abstract
Noticing the heavy tail dependence phenomenon in the Collateralised Debt Obligation (CDO) markets, we utilize affine jump-diffusion processes involving Lévy stable distributions to model the systematic and idiosyncratic risk factors under the setting of intensity-based models. We further derive explicit formulae for the expected loss of CDO tranches under this modelling framework.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Mathematical and Computer Modelling | ||||
Publisher: | Pergamon | ||||
ISSN: | 0895-7177 | ||||
Official Date: | 2013 | ||||
Dates: |
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Volume: | Volume 57 | ||||
Number: | Number 3-4 | ||||
Page Range: | pp. 570-583 | ||||
DOI: | 10.1016/j.mcm.2012.06.038 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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