Matches in SemOpenAlex for { <https://semopenalex.org/work/W2004691262> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W2004691262 endingPage "99" @default.
- W2004691262 startingPage "86" @default.
- W2004691262 abstract "This article provides an alternative framework to price Collateralized Debt Obligations (CDOs) based on a special case of Lévy distributions called a Meixner distribution. The proposed distribution has desirable properties such as skewness and fat tails. More importantly, it is relatively simple to implement compared to other Lévy distributions and is applicable to both copula-based and structural form approaches. Using the historical prices of CDOs on the CDX NA IG, we examine the performances of the proposed models in comparison to those of standard models such as Gaussian copula model, double-t copula model, and correlated Brownian motion structural model. In terms of the mean absolute pricing errors (MAPEs), Meixner-based models outperform standard models. We also examine the risk measures of the models and find that the risk measures from Meixner-based models are more reasonable than those of the standard models. <b>TOPICS:</b>CLOs, CDOs, and other structured credit, statistical methods, VAR and use of alternative risk measures of trading risk" @default.
- W2004691262 created "2016-06-24" @default.
- W2004691262 creator A5045469231 @default.
- W2004691262 creator A5049789800 @default.
- W2004691262 creator A5074387958 @default.
- W2004691262 date "2008-06-30" @default.
- W2004691262 modified "2023-10-18" @default.
- W2004691262 title "On Pricing CDOs with Meixner Distributions" @default.
- W2004691262 cites W1983135873 @default.
- W2004691262 cites W2009736376 @default.
- W2004691262 cites W2032942524 @default.
- W2004691262 cites W2077791698 @default.
- W2004691262 cites W2100190417 @default.
- W2004691262 cites W2101593446 @default.
- W2004691262 cites W2282382832 @default.
- W2004691262 cites W2463830233 @default.
- W2004691262 cites W3121609987 @default.
- W2004691262 cites W3121912148 @default.
- W2004691262 cites W3122906726 @default.
- W2004691262 cites W3124378397 @default.
- W2004691262 cites W3125308425 @default.
- W2004691262 cites W3125349010 @default.
- W2004691262 cites W4256064418 @default.
- W2004691262 doi "https://doi.org/10.3905/jfi.2008.708845" @default.
- W2004691262 hasPublicationYear "2008" @default.
- W2004691262 type Work @default.
- W2004691262 sameAs 2004691262 @default.
- W2004691262 citedByCount "0" @default.
- W2004691262 crossrefType "journal-article" @default.
- W2004691262 hasAuthorship W2004691262A5045469231 @default.
- W2004691262 hasAuthorship W2004691262A5049789800 @default.
- W2004691262 hasAuthorship W2004691262A5074387958 @default.
- W2004691262 hasConcept C10138342 @default.
- W2004691262 hasConcept C105795698 @default.
- W2004691262 hasConcept C122342681 @default.
- W2004691262 hasConcept C149782125 @default.
- W2004691262 hasConcept C162118730 @default.
- W2004691262 hasConcept C162324750 @default.
- W2004691262 hasConcept C166963901 @default.
- W2004691262 hasConcept C17618745 @default.
- W2004691262 hasConcept C178350159 @default.
- W2004691262 hasConcept C2777910564 @default.
- W2004691262 hasConcept C33923547 @default.
- W2004691262 hasConcept C44309892 @default.
- W2004691262 hasConcept C86537402 @default.
- W2004691262 hasConceptScore W2004691262C10138342 @default.
- W2004691262 hasConceptScore W2004691262C105795698 @default.
- W2004691262 hasConceptScore W2004691262C122342681 @default.
- W2004691262 hasConceptScore W2004691262C149782125 @default.
- W2004691262 hasConceptScore W2004691262C162118730 @default.
- W2004691262 hasConceptScore W2004691262C162324750 @default.
- W2004691262 hasConceptScore W2004691262C166963901 @default.
- W2004691262 hasConceptScore W2004691262C17618745 @default.
- W2004691262 hasConceptScore W2004691262C178350159 @default.
- W2004691262 hasConceptScore W2004691262C2777910564 @default.
- W2004691262 hasConceptScore W2004691262C33923547 @default.
- W2004691262 hasConceptScore W2004691262C44309892 @default.
- W2004691262 hasConceptScore W2004691262C86537402 @default.
- W2004691262 hasIssue "1" @default.
- W2004691262 hasLocation W20046912621 @default.
- W2004691262 hasOpenAccess W2004691262 @default.
- W2004691262 hasPrimaryLocation W20046912621 @default.
- W2004691262 hasRelatedWork W1509869658 @default.
- W2004691262 hasRelatedWork W1510564770 @default.
- W2004691262 hasRelatedWork W1992255458 @default.
- W2004691262 hasRelatedWork W2101593446 @default.
- W2004691262 hasRelatedWork W2138927569 @default.
- W2004691262 hasRelatedWork W2155929783 @default.
- W2004691262 hasRelatedWork W2240754829 @default.
- W2004691262 hasRelatedWork W3169498838 @default.
- W2004691262 hasRelatedWork W3211357842 @default.
- W2004691262 hasRelatedWork W2147501424 @default.
- W2004691262 hasVolume "18" @default.
- W2004691262 isParatext "false" @default.
- W2004691262 isRetracted "false" @default.
- W2004691262 magId "2004691262" @default.
- W2004691262 workType "article" @default.