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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hofert, M.; Scherer, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
CDO pricing with nested Archimedean copulas 
Abstract:
Companies in the same industry sector are usually stronger correlated than firms in different sectors, as they are similarly affected by macroeconomic effects, political decisions, and consumer trends. In spite of many stock return models taking account of this fact there are only a few credit default models taking it into consideration. In this paper we present a default model based on nested Archimedean copulas which is able to capture hierarchical dependence structures among the obligors in a...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Quantitative Finance 
Jahr:
2011 
Band / Volume:
11 
Quartal:
1. Quartal 
Monat:
Jan 
Heft / Issue:
Seitenangaben Beitrag:
775-787 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein