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Title:

Pricing Distressed CDOs with Stochastic Recovery

Document type:
Zeitschriftenaufsatz
Author(s):
Höcht, S.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
Abstract:
In this article, a framework for the joint modelling of default and recovery risk in a portfolio of credit risky assets is presented. The model especially accounts for the correlation of defaults on the one hand and correlation of default rates and recovery rates on the other hand. Nested Archimedean copulas are used to model different dependence structures. For the recovery rates a very flexible continuous distribution with bounded support is applied, which allows for an efficient sampling of t...     »
Intellectual Contribution:
Contribution to Practice
Journal title:
Review of Derivatives Research
Journal listet in FT50 ranking:
nein
Year:
2010
Journal volume:
13
Journal issue:
3
Pages contribution:
219-244
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Semester:
SS 02
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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