This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion ...This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion and jump with an asymmetric double exponential distribution. Conditioned on the common factor of individual entity, this paper gets the conditional distribution, and further obtains the loss distribution of the whole reference portfolio. Based on the semi-analytic approach, the fair spreads of collateralized debt obligations tranches, i.e., the prices of collateralized debt obligations tranches, are derived.展开更多
Copula method has been widely applied to model the correlation among underlying assets in financial market. In this paper, we propose to use the multivariate Frechet copula family presented in J. P. Yang et al. [Insur...Copula method has been widely applied to model the correlation among underlying assets in financial market. In this paper, we propose to use the multivariate Frechet copula family presented in J. P. Yang et al. [Insurance Math. Econom., 2009, 45：139 147] to price multivariate financial instruments whose payoffs depend on the k^th realization of the underlying assets and collateralized debt obligation （CDO）. The advantage of the multivariate Frechet copula is discussed. Empirical study shows that such copula family gives a better fitting to CDO＇s market price than Gaussian copula for some derivatives.展开更多
基金Supported by the National Natural Science Foundation of China (70771018)the Natural Science Foundation of Shandong Province (2009ZRB019AV)Mathematical Subject Construction Funds and the Key Laboratory of Financial Information Engineering of Ludong University (2008)
文摘This paper considers the pricing problem of collateralized debt obligations tranches under a structural jump-diffusion model, where the asset value of each reference entity is generated by a geometric Brownian motion and jump with an asymmetric double exponential distribution. Conditioned on the common factor of individual entity, this paper gets the conditional distribution, and further obtains the loss distribution of the whole reference portfolio. Based on the semi-analytic approach, the fair spreads of collateralized debt obligations tranches, i.e., the prices of collateralized debt obligations tranches, are derived.
文摘Copula method has been widely applied to model the correlation among underlying assets in financial market. In this paper, we propose to use the multivariate Frechet copula family presented in J. P. Yang et al. [Insurance Math. Econom., 2009, 45：139 147] to price multivariate financial instruments whose payoffs depend on the k^th realization of the underlying assets and collateralized debt obligation （CDO）. The advantage of the multivariate Frechet copula is discussed. Empirical study shows that such copula family gives a better fitting to CDO＇s market price than Gaussian copula for some derivatives.
