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Book synopsis

We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar vein. Relevant simulations are presented.

Book details

Book category Knihy po anglicky Mathematics & science Mathematics Probability & statistics

• Full title: Stochastic and Copula Models for Credit Derivatives
• Author: Chao Meng
• Language: English
• Binding: Paperback
• Number of pages: 100
• EAN: 9783639212570
• ISBN: 3639212576
• ID: 06829171
• Publisher: VDM Verlag
• Weight: 159 g
• Dimensions: 229 × 152 × 6 mm
• Date of publishing: 02. February 2010

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