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Pricing collateralized debt obligations with Markov-modulated Poisson processes
http://hdl.handle.net/2241/119310
http://hdl.handle.net/2241/119310af2dd32b-48f4-44fa-85ba-5b283bc5d684
名前 / ファイル | ライセンス | アクション |
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QF_11-12.pdf (238.8 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2013-06-04 | |||||
タイトル | ||||||
タイトル | Pricing collateralized debt obligations with Markov-modulated Poisson processes | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
Takada, Hideyuki
× Takada, Hideyuki× Sumita, Ushio× Takahashi, Kazuki |
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著者別名 |
住田, 潮
× 住田, 潮 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | For the valuation of a CDO (collateralized debt obligation), a standard approach in practice is to employ the Gaussian copula model of (Li, 7) [J. Fixed Income, 2000, 9, 43–54]. However, this model is limited in that its framework is completely static, failing to capture the dynamic evolution of the CDO. In general, portfolio credit derivatives are subject to two kinds of risk, a default event risk, when any underlying firm involved in the CDO fails to fulfill its obligations, and credit spread risk, due to the change of the default intensity over time. In dealing with either type of risk, it is absolutely necessary to develop a dynamic model incorporating the stochastic behavior of the macro-economic conditions and their influence on the default intensity. In this paper, a dynamic stochastic model is developed where the macro-economic conditions are assumed to follow a birth–death process, which would affect loss distributions characterized by a Markov-modulated Poisson process (MMPP). By exploiting the stochastic structure of the MMPP, efficient computational procedures are established for evaluating time-dependent loss distributions and prices of the CDO. Numerical results are presented, demonstrating the potential usefulness of the model by estimating the underlying parameters based on real market data. | |||||
書誌情報 |
Quantitative finance 巻 11, 号 12, p. 1761-1771, 発行日 2011-04 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 1469–7688 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11586119 | |||||
DOI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | 10.1080/14697688.2010.548398 | |||||
権利 | ||||||
権利情報 | ©2011 Taylor & Francis | |||||
権利 | ||||||
権利情報 | This is an Author's Accepted Manuscript of an article published in Quantitative Finance Vol 11 Issue12 15 Apr 2011, available online at: http://www.tandfonline.com/10.1080/14697688.2010.548398. | |||||
著者版フラグ | ||||||
値 | author | |||||
出版者 | ||||||
出版者 | Routledge | |||||
URI | ||||||
識別子 | http://hdl.handle.net/2241/119310 | |||||
識別子タイプ | HDL |