BROWSE

Related Researcher

Author's Photo

Jang, Hyun Jin
School of Business Administration
Research Interests
  • Quantitative risk management
  • Derivatives pricing
  • Stochastic modeling in Finance

ITEM VIEW & DOWNLOAD

A factor contagion model for portfolio credit derivatives

Cited 0 times inthomson ciCited 0 times inthomson ci
Title
A factor contagion model for portfolio credit derivatives
Author
Choe, GeonhoJang, HyunjinKwon, Soonwon
Issue Date
2015-09
Publisher
ROUTLEDGE JOURNALS
Citation
QUANTITATIVE FINANCE, v.15, no.9, pp.1571 - 1582
Abstract
We propose a factor contagion model with the Marshall-Olkin copula for correlated default times and develop an analytic approach for finding the (Formula presented.)th 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 (Formula presented.)th default time distribution and apply it to compute the price of portfolio credit derivatives, such as (Formula presented.)th-to-default swaps and single-tranche CDOs. To test efficiency and accuracy of our formula, we compare the theoretical prediction with existing methods.
URI
https://scholarworks.unist.ac.kr/handle/201301/9626
URL
http://www.tandfonline.com/doi/abs/10.1080/14697688.2014.976651?journalCode=rquf20
DOI
10.1080/14697688.2014.976651
ISSN
1469-7688
Appears in Collections:
SBA_Journal Papers
Files in This Item:
There are no files associated with this item.

find_unist can give you direct access to the published full text of this article. (UNISTARs only)

Show full item record

qrcode

  • mendeley

    citeulike

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

MENU