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Titel:

Pricing Distressed CDOs with Stochastic Recovery

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Höcht, S.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
Review of Derivatives Research
Journal gelistet in FT50 Ranking:
nein
Jahr:
2010
Band / Volume:
13
Heft / Issue:
3
Seitenangaben Beitrag:
219-244
Reviewed:
ja
Sprache:
en
Status:
Verlagsversion / published
Semester:
SS 02
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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