Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
The default credit derivatives mathematical modeling based on copula models
Available online: 13 February 2011 Subject Heading: MATHEMATICAL METHODS OF THE ANALYSIS IN ECONOMY JEL Classification:
The occurrence of credit derivatives in the modern financial world caused the necessity of new problem statement, new methods development in financial mathematics, development of market processes reliable mathematical models with the purpose of calculation quality increase and securities investment risk reduction. This paper presents the structural approach to credit derivatives default modeling of the single name issuer and the application of this approach for modeling credit risk on the multiple name issuers with use of copula functions is shown. In conclusion it is shown that the credit derivatives and tranche loss estimation with our proposed multivariate model of portfolio losses it takes into account the mixed parameters existence, limiting and tail dependence. Keywords: collateralized debt obligation, credit default swap, credit default, credit derivative, credit risk, copula |
ISSN 2311-8768 (Online)
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