A factor contagion model for portfolio credit derivatives

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dc.contributor.authorChoe, Geon Hoko
dc.contributor.authorJang, Hyun Jinko
dc.contributor.authorKwon, Soon Wonko
dc.date.accessioned2016-04-20T06:29:10Z-
dc.date.available2016-04-20T06:29:10Z-
dc.date.created2015-09-07-
dc.date.created2015-09-07-
dc.date.created2015-09-07-
dc.date.issued2015-09-
dc.identifier.citationQUANTITATIVE FINANCE, v.15, no.9, pp.1571 - 1582-
dc.identifier.issn1469-7688-
dc.identifier.urihttp://hdl.handle.net/10203/205373-
dc.description.abstractWe 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.languageEnglish-
dc.publisherROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD-
dc.titleA factor contagion model for portfolio credit derivatives-
dc.typeArticle-
dc.identifier.wosid000359744800001-
dc.identifier.scopusid2-s2.0-84938742329-
dc.type.rimsART-
dc.citation.volume15-
dc.citation.issue9-
dc.citation.beginningpage1571-
dc.citation.endingpage1582-
dc.citation.publicationnameQUANTITATIVE FINANCE-
dc.identifier.doi10.1080/14697688.2014.976651-
dc.contributor.localauthorChoe, Geon Ho-
dc.contributor.nonIdAuthorJang, Hyun Jin-
dc.contributor.nonIdAuthorKwon, Soon Won-
dc.description.isOpenAccessN-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorMarshall-Olkin copula-
dc.subject.keywordAuthorContagion model-
dc.subject.keywordAuthorCredit derivatives-
dc.subject.keywordAuthorRecovery rate-
dc.subject.keywordPlusDEFAULTABLE SECURITIES-
dc.subject.keywordPlusRISK-
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