DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choe, Geon Ho | ko |
dc.contributor.author | Jang, Hyun Jin | ko |
dc.contributor.author | Kwon, Soon Won | ko |
dc.date.accessioned | 2016-04-20T06:29:10Z | - |
dc.date.available | 2016-04-20T06:29:10Z | - |
dc.date.created | 2015-09-07 | - |
dc.date.created | 2015-09-07 | - |
dc.date.created | 2015-09-07 | - |
dc.date.issued | 2015-09 | - |
dc.identifier.citation | QUANTITATIVE FINANCE, v.15, no.9, pp.1571 - 1582 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10203/205373 | - |
dc.description.abstract | We propose a factor contagion model with the Marshall-Olkin copula for correlated default times and develop an analytic approach for finding the kth default time distribution based on our model. We combine a factor copula model with a contagion model under the assumption that the individual default intensities follow contagion processes, and that the default times have a dependence structure with the Marshall-Olkin copula. Then, we derive an analytic formula for the kth default time distribution and apply it to compute the price of portfolio credit derivatives, such as kth-to-default swaps and single-tranche CDOs. To test efficiency and accuracy of our formula, we compare the theoretical prediction with existing methods. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | A factor contagion model for portfolio credit derivatives | - |
dc.type | Article | - |
dc.identifier.wosid | 000359744800001 | - |
dc.identifier.scopusid | 2-s2.0-84938742329 | - |
dc.type.rims | ART | - |
dc.citation.volume | 15 | - |
dc.citation.issue | 9 | - |
dc.citation.beginningpage | 1571 | - |
dc.citation.endingpage | 1582 | - |
dc.citation.publicationname | QUANTITATIVE FINANCE | - |
dc.identifier.doi | 10.1080/14697688.2014.976651 | - |
dc.contributor.localauthor | Choe, Geon Ho | - |
dc.contributor.nonIdAuthor | Jang, Hyun Jin | - |
dc.contributor.nonIdAuthor | Kwon, Soon Won | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Marshall-Olkin copula | - |
dc.subject.keywordAuthor | Contagion model | - |
dc.subject.keywordAuthor | Credit derivatives | - |
dc.subject.keywordAuthor | Recovery rate | - |
dc.subject.keywordPlus | DEFAULTABLE SECURITIES | - |
dc.subject.keywordPlus | RISK | - |
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