Dependent defaults and losses with factor copula models

• Autorzy: Damien Ackerer , Thibault Vatter
• Języki publikacji: EN

Abstrakty

EN

We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.

Słowa kluczowe

EN

credit portfolio; credit derivatives; discrete Fourier transform; factor copula; random loss; survival models

Kategorie tematyczne

• 91G20: Derivative securities
• 91G60: Numerical methods (including Monte Carlo methods)
• 65T50: Discrete and fast Fourier transforms
• 62H05: Characterization and structure theory
• 60E10: Characteristic functions; other transforms
• 62H20: Measures of association (correlation, canonical correlation, etc.)
• 60E05: Distributions: general theory
• 91G40: Credit risk

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 375-399

Daty

wydano

2017-12-20

otrzymano

2017-09-13

zaakceptowano

2017-12-10

online

2017-12-29

Twórcy

autor

Damien Ackerer

• ,

autor

Thibault Vatter

• ,

Identyfikatory

DOI

10.1515/demo-2017-0022