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- W2077535197 abstract "As an extension of the standard Gaussian copula model to price collateralized debt obligation (CDO) tranche swaps we present a generalization of a one-factor copula model based on stable distributions. For special parameter values these distributions coincide with Gaussian or Cauchy distributions, but changing the parameters allows a continuous deformation away from the Gaussian copula. All these factor copulas are embedded in a framework of stochastic correlations. We furthermore generalize the linear dependence in the usual factor approach to a more general Archimedean copula dependence between the individual trigger variable and the common latent factor. Our analysis is carried out on a non-homogeneous correlation structure of the underlying portfolio. CDO tranche market premia, even throughout the correlation crisis in May 2005, can be reproduced by certain models. From a numerical perspective, all these models are simple, since calculations can be reduced to one-dimensional numerical integrals." @default.
- W2077535197 created "2016-06-24" @default.
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- W2077535197 date "2009-06-01" @default.
- W2077535197 modified "2023-09-30" @default.
- W2077535197 title "Correlation smile matching for collateralized debt obligation tranches with α-stable distributions and fitted Archimedean copula models" @default.
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- W2077535197 doi "https://doi.org/10.1080/14697680802464428" @default.
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