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Document type:
Zeitschriftenaufsatz 
Author(s):
Höcht, S.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Pricing Distressed CDOs with Stochastic Recovery 
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:
Pages contribution:
219-244 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Ja 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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