1) One Factor Gaussian Copula model 单因子高斯模型1. The most popular model for pricing Synthetic Collateralized Debt Obligation (SCDO) is One Factor Gaussian Copula model. 目前,市场上对合成型债务抵押债券(SCDO)定价的方法中最流行的是单因子高斯模型。
This chapter introduces the basic framework for synthetic CDO pricing and the popular one factor Gaussian model of correlated defaults. The central results for the analytical calculation of the portfolio loss distribution under the assumption of the large homogeneous portfolio are presented and generalized...
In spite of its simplicity, the popular One Factor Gaussian Copula model remains the market standard for the valuation of CDO tranches and $n$-th to defaul... FD Vrins - 《Social Science Electronic Publishing》 被引量: 13发表: 2010年 Sensitivity analysis of credit portfolio models To assess...
5) one factor diffuse model 单因子扩散模型 例句>> 6) One Factor Gaussian Copula model 单因子高斯模型 1. The most popular model for pricing Synthetic Collateralized Debt Obligation (SCDO) isOne Factor Gaussian Copula model. 目前,市场上对合成型债务抵押债券(SCDO)定价的方法中最流行的是单因子高斯模...
In this research we investigate different bespoke CDO pricing methods and models. Four mapping methods rooted in the one factor Gaussian copula model and another bespoke CDO pricing model developed from an alternative Hull & White's fram... L Chang 被引量: 0发表: 2008年 加载更多研究...
This chapter introduces the basic framework for synthetic CDO pricing and the popular one factor Gaussian model of correlated defaults. The central results for the analytical calculation of the portfodoi:10.1007/978-3-642-15609-0_4Anna SchlsserSpringer Berlin Heidelberg...
One‐factor Gaussian Copula Model (OFGC)CDOsDefault correlationDefault probabilitySummary In this chapter we discuss a short cut of the Gaussian copula function: the one-factor Gaussian copula (OFGC). The OFGC has three very simplifying assumptions: 1) All assets in the portfolio have the same...
When correlation among reference entities is low, the price calculated from the analytical model matches very well with the one-factor Gaussian copula models. However, as the correlation among reference entities increases, prices calculated using both the analytical solution and the homogeneous or two-...
The importance of conducting inference on the latent factor is motivated by constructing a poverty index using estimates of the factor. Compared to a linear Gaussian factor model, our model average improves out-of-sample fit. The relationships between the poverty index and observed variables ...
Werpachowski, R. "Accurate and Fast Integration Over the Market Factor in One- Factor Gaussian Copula CDO Model." Working paper, December 10, 2009 available at SSRN http://ssrn.com/abstract=1521843 or http://dx.doi.org/10.2139/ssrn.1521843....