紀要論文 Synthetic CDOのファクターモデルのt分布族への展開
FACTOR MODEL FOR SYNTHETIC CDO USING BIVARIATE T-DISTRIBUTION

越阪部, 昭太  ,  OSAKABE, Shota

(56) 2015-03-24 , 法政大学大学院理工学・工学研究科
ISSN:2187-9923
NII書誌ID(NCID):AA12677220
内容記述
We consider the price of Synthetic Collateralized Debt Obligation (CDO). The factor model for portfolio of default is originated by Vasicek [3]. In this paper, we extend it to the CDO model where credit defaults are assumed to be bivariate normal distributed to the model of t-distribution. We calculate prices of each CDO tranche under the assumption of the distribution between a common risk factor and the risk factors of each individual company.We compare the prices of tranches of Synthetic CDO in the normal distribution case and bivariate t-distribution case.
本文を読む

http://repo.lib.hosei.ac.jp/bitstream/10114/10628/1/13R6206.pdf

このアイテムのアクセス数:  回

その他の情報