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Document type:
Zeitschriftenaufsatz 
Author(s):
Hofert, M.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
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 
Journal title:
Quantitative Finance 
Year:
2011 
Journal volume:
11 
Quarter:
1. Quartal 
Month:
Jan 
Journal issue:
Pages contribution:
775-787 
Reviewed:
ja 
Language:
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 
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