{"title":"基于α稳定联结的债务抵押债券定价","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":"{\"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}","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}
Collateralized Debt Obligation Pricing with an Alpha-stable Copula
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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