Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions

Wu, JiangLun and Yang, Wei (2013) Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions. Mathematical and Computer Modelling, 57 (3-4). pp. 570-583. ISSN 0895-7177 (https://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.

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• Item metadata

  Item type:	Article
  ID code:	43224
  Dates:	Date Event February 2013 Published
  Notes:	updated entry
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Pure Administrator
  Date deposited:	15 Mar 2013 13:57
  Last modified:	11 Nov 2024 10:22
  URI:	https://strathprints.strath.ac.uk/id/eprint/43224