| dc.contributor | 統計系 | |
| dc.creator (作者) | Liu, Huimei;Chuang, C.-L. | |
| dc.creator (作者) | 劉惠美 | zh_TW |
| dc.date (日期) | 2011-08 | |
| dc.date.accessioned | 22-六月-2015 14:28:03 (UTC+8) | - |
| dc.date.available | 22-六月-2015 14:28:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-六月-2015 14:28:03 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76006 | - |
| dc.description.abstract (摘要) | The one-factor double Gaussian copula model under the large homogeneous portfolio (LHP) assumption fails to fit the prices of CDO tranches (Li 2004), resulting in implied base correlation skew. Kalemanova et al. (2007, The Journal of Derivatives, pp.80-93) used a one-factor double Normal Inverse Gaussian (NIG) copula model to price CDO tranches. The NIG model not only economizes on time but also fits the equity tranches exactly; however, it fails to adequately price other tranches simultaneously. In this paper, we propose a mixture of NIG and closed skew normal (CSN) distributions to price the CDOs. The CSN has properties similar to the normal distribution, such as closure under convolution, and has extra parameters to control the shape of the distribution. This mixture performs quite well and brings more flexibility to the dependence structure. © 2011 ISSN 1881-803X. | |
| dc.format.extent | 176 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | ICIC Express Letters, 5(8B), 2939-2943 | |
| dc.subject (關鍵詞) | CDO; Closed skewed normal distribution; Double normal; Gaussian copula models; Inverse gaussian; Large homogeneous portfolio; Normal inverse Gaussian distribution; One-factor; Costs; Gaussian distribution; Mixtures; Normal distribution | |
| dc.title (題名) | Mixture of NIG and closed skewed normal distribution for pricing CDOS | |
| dc.type (資料類型) | article | en |
