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 STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES. RESULTS OF CDO TRANCHE SENSITIVITIES IN THE GAUSSIAN COPULA MODEL
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STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES. RESULTS OF CDO TRANCHE SENSITIVITIES IN THE GAUSSIAN COPULA MODEL

автор Chao M. издательство Книга по Требованию Информационные технологии в экономике
Cтраниц 100        мягкая обложка       
Аннотация:We compute certain stochastic integrals involving the exit time. Relevant simulations are presented. A Poisson-mixture model is also investigated in a similar vein. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. We prove results relating to the exit time of a stochastic process from a region in N-dimensional space.
Автор: Chao M.
Издательство: Книга по Требованию
Год:2010
Цена:
2007 руб
Нет в наличии
Поиск: STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES. RESULTS OF CDO TRANCHE SENSITIVITIES IN THE GAUSSIAN COPULA MODEL
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