The Copula Approach to CDO valuation: A comparison study
Date Issued
2005
Date
2005
Author(s)
Lin, Chien-Hung
DOI
en-US
Abstract
For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively. However, several forms of copula functions have been proposed. And attempts to compare these functions based on different dimensions such as the speed of simulation, the ease of calibration, and tail dependence structure have been conducted.
In this paper, we propose a way to extend the tail dependence as to take into account the asset structure of different CDOs. With the extension, the search of the most appropriate copula function will be more complete.
Subjects
擔保債權憑證
倒帳相關性
Copula
CDO
tail dependence
Type
thesis
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