{"title":"Collateralized Debt Obligation Pricing with an Alpha-stable Copula","authors":"Biyuan Zhang, Shenghong Li","doi":"10.1109/BCGIN.2011.38","DOIUrl":null,"url":null,"abstract":"This paper introduces a method of Collateralized Debt Obligation pricing by using the α-stable Copula with the stochastic recovery. As an extension to the Gaussian copula, stable distribution has a heavy-tailed distribution and more parameters, and so it will fit the actual market better than Gaussian copula.","PeriodicalId":127523,"journal":{"name":"2011 International Conference on Business Computing and Global Informatization","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 International Conference on Business Computing and Global Informatization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/BCGIN.2011.38","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
This paper introduces a method of Collateralized Debt Obligation pricing by using the α-stable Copula with the stochastic recovery. As an extension to the Gaussian copula, stable distribution has a heavy-tailed distribution and more parameters, and so it will fit the actual market better than Gaussian copula.
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