Large Homogeneous Cell Approximation for Factor Copula Models

Anna Schlösser ()
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Anna Schlösser: Hedging and Derivatives Strategies

Chapter Chapter 7 in Pricing and Risk Management of Synthetic CDOs, 2011, pp 177-183 from Springer

Abstract: Abstract The models, considered in the previous chapter, attempted to describe all tranches and maturities of a CDO with only one correlation parameter assuming that the portfolio is homogeneous. Already for one point in time, this assumption is quite strong. In the iTraxx example, there are 15 market quotes on one trading day, and it is very ambitious to argue that they all can be explained by only one parameter in the case of the Vasicek model or by two parameters in the case of the NIG model.

Keywords: Asset Return; Rating Cell; Default Probability; Credit Spread; Credit Portfolio (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-15609-0_7

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