Stochastic Evolution of Distributions - Applications to CDS indices

Guillaume Bernis (), Nicolas Brunel (), Antoine Kornprobst () and Simone Scotti ()
Additional contact information
Guillaume Bernis: Natixis Asset Management
Nicolas Brunel: ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise
Antoine Kornprobst: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Labex ReFi - UP1 - Université Paris 1 Panthéon-Sorbonne
Simone Scotti: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We use mixture of percentile functions to model credit spread evolution, which allows to obtain a flexible description of credit indices and their components at the same time. We show regularity results in order to extend mixture percentile to the dynamic case. We characterise the stochastic differential equation of the flow of cumulative distribution function and we link it with the ordered list of the components of the credit index. The main application is to introduce a functional version of Bollinger bands. The crossing of bands by the spread is associated with a trading signal. Finally, we show the richness of the signals produced by functional Bollinger bands compared with standard one with a pratical example.

Keywords: Mathematical Methods; Model Construction and Validation; Stochastic Analysis; Credit Default Swaps; Dynamic Distributions (search for similar items in EconPapers)
Date: 2017-01
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01467736v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 2017

Downloads: (external link)
https://shs.hal.science/halshs-01467736v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01467736

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().