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  • As an extension of the standard Gaussian copula model to price CDO tranche swaps we present a generalization of a one-factor copula model based on stable distributions. For special parameter values these distributions coincide with Gaussian or Cauchy distributions, but changing the parameters allows a continuous deformation away from the Gaussian copula. All these factor copulas are embedded into a framework of stochastic correlations. We furthermore generalize the linear dependency in the usual factor approach to a more general Archimedean copula dependency between the individual trigger variable and the common latent factor. Our analysis is carried out on a non-homogeneous correlation structure of the underlying portfolio. CDO tranche market premia, even through the correlation crisis in May 2005, can be reproduced by certain models. From a numerical perspective all these models are simple since calculations can be reduced to one dimensional numerical integrals. (xsd:string)
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?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/14697680802464428 ()
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  • en (xsd:string)
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  • 4 (xsd:string)
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  • Correlation Smile Matching for CDO Tranches with α Stable Distributions and Fitted Archimedan Copulas (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 9, 2009, 4, 439-449 (xsd:string)
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?:urn
  • urn:nbn:de:0168-ssoar-221341 ()
?:volumeNumber
  • 9 (xsd:string)