English, Article edition: ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS PING LI; HOUSHENG CHEN; XIAOTIE DENG; ...

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Bookmark: http://trove.nla.gov.au/version/36631
Physical Description
  • article
Language
  • English

Edition details

Title
  • ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS
Author
  • PING LI
  • HOUSHENG CHEN
  • XIAOTIE DENG
  • SHUNMING ZHANG
Physical Description
  • article
Notes
  • Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative â collateralized debt obligation (CDO). We also analyze two important factors influencing the pricing of multi-name credit derivatives, recovery rates and copula function. Finally, we apply Clayton copula, in a numerical example, to simulate default times taking specific underlying recovery rates and average recovery rates, then price the tranches of a given CDO and then analyze the results.
  • Collateralized debt obligation (CDO), default correlation, copula, recovery rate, multi-name credit derivatives
  • RePEc:wsi:ijitdm:v:05:y:2006:i:03:p:483-493
Language
  • English
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