Stochastic and Copula Models for Credit Derivatives by Meng, Chao

Stochastic and Copula Models for Credit Derivatives (Paperback) (ISBN-13: 9783639212570)

Vendor: Chao Meng
Product type: Books
Format: Paperback
$52.92
$52.92
$52.92
Subtotal: $52.92
Stochastic and Copula Models for Credit Derivatives by Meng, Chao

Stochastic and Copula Models for Credit Derivatives

$52.92
Stochastic and Copula Models for Credit Derivatives by Meng, Chao

Stochastic and Copula Models for Credit Derivatives

$52.92
Format: Paperback
Description
Description
x
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar vein. Relevant simulations are presented.

Author: Chao Meng
ISBN-10: 3639212576
ISBN-13: 9783639212570
Publisher: VDM Verlag
Language: English
Published: 02/02/2010
Pages: 100
Format: Paperback
Weight: 0.35lbs
Size: 9.00h x 6.00w x 0.24d

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