FACTOR MODEL FOR SYNTHETIC CDO USING BIVARIATE T-DISTRIBUTION
越阪部, 昭太OSAKABE, Shota
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 . 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.