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Title:

CDO pricing with nested Archimedean copulas

Document type:
Zeitschriftenaufsatz
Author(s):
Hofert, M.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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:
5
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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