Pricing CDO with Factor Copula Method
Date Issued
2007
Date
2007
Author(s)
Wu, Po-Chang
DOI
zh-TW
Abstract
In recently years, credit derivatives become more and more popular. Collateralized Debt Obligation is one of the credit derivatives and the trading volumes are growing fast.
CDO is backed by a pool of portfolio and then tranched. When pricing CDO, it is an important thing that gets the correlation amount the portfolio that consists lots kind of assets. Copula method is one of the most efficient way to solve this problem.
In this paper, we provide factor copula to price the premium of CDO. By comparing many types of factor copula, we want to find out which types of factor copula are useful and efficient.
Subjects
擔保債權憑證
評價方法
factor copula
cdo
Type
thesis
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