CDO Pricing Based on Factor Model: Three Extensions to the Gaussian One-Factor Model

摘要：

The paper deals with the evaluation of CDO (Collateralized Debt Obligations) with a more realistic specification of distribution. Based on the idea of the standard Gaussian One-factor Model, we examine three approaches for estimating the portfolio loss distribution by the NIG (Normal Inverse Gaussian) distribution setting. In accordance with empirical evidence, our model predicts higher default correlation in the bear markets than the bull markets. Some numerical results are also provided.

作者: 袁子甲 姚京 李仲飞

作者单位: 中山大学岭南(大学)学院,广州,510275

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）