Departmental Bulletin Paper Synthetic CDOのファクターモデルのt分布族への展開

越阪部, 昭太

562015-03-24 , 法政大学大学院理工学・工学研究科
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.

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