A General Numerical Algorithm for CDO Pricing Based on Single Factor Copula Framework and Nonhomogeneous Assumptions

CDO Pricing: Copula Implied by Risk Neutral Dynamics

When dealing with multi-issuer credit derivatives such as CDO, it is customary to referthe reader to either of two approaches: “static models” which focus on the copula between thevariables of interest, and “dynamic models” where the diffusion of the underlying variablesis described directly. While the former is widely used due to its simplicity, it is not clearthat there is...

Synthetic CDO pricing using the double normal inverse Gaussian copula with stochastic factor loadings

the algorithm for solving the inverse numerical range problem

برد عددی ماتریس مربعی a را با w(a) نشان داده و به این صورت تعریف می کنیم w(a)={x8ax:x ?s1} ، که در آن s1 گوی واحد است. در سال 2009، راسل کاردن مساله برد عددی معکوس را به این صورت مطرح کرده است : برای نقطه z?w(a)، بردار x?s1 را به گونه ای می یابیم که z=x*ax، در این پایان نامه ، الگوریتمی برای حل مساله برد عددی معکوس ارانه می دهیم.

Cyber-Insurance: Copula Pricing Framework and Implication for Risk Management

In recent years there has been a growing stream of research focusing on cyber-insurance. Risk transference with insurance has been suggested by both practitioners and academics to absorb losses caused by security breaches as well as to supplement the existing set of security tools to manage IT security residual risk after IT security investments are made. In this paper, we investigate pricing o...

An overview of factor models for pricing CDO tranches

We review the pricing of synthetic CDO tranches from the point of view of factor models. Thanks to the factor framework, we can handle a wide range of well-know pricing models. This includes pricing approaches based on copulas, but also structural, multivariate Poisson and affine intensity models. Factor models have become increasingly popular since there are associated with efficient semi-anal...