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政大典藏 > College of Commerce > Department of Money and Banking > Periodical Articles > Item 140.119/75804

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/75804

Title:	On the characterization and information contents of dynamic default correlation under the doubly stochastic assumption: the case of iTraxx CDO tranches
Authors:	Chiang, Mi Hsiu;Chiu, Hsin Yu;Wang, Ying Hsin 江彌修;邱信瑜;王盈心
Contributors:	金融系
Keywords:	動態違約模型;混合卜瓦松跳躍過程;資產動態存活機率 default correlations;mixed Poisson jump processes;contagious effects
Date:	2014-09
Issue Date:	2015-06-15 16:25:28 (UTC+8)
Abstract:	In this paper we present a tractable model that dynamically characterizes the correlation structure for a portfolio of credit entities. Heterogeneous credit events are modeled as the arrivals of mixed Poisson jump processes and magnitudes of jumps represent the associated impacts of credit events on the joint survival probabilities of the credit portfolio. We assume that the default intensities of both sources of risk are driven by a combination of two parameter Gamma and Pareto distributions as to capture the clustering effects of default events under different market scenarios. We conduct calibration of the model to iTraxx Europe as an example and verify the goodness of fit between the arket spreads and the model spreads of ours. We extract the implied jump-sizes that reveal information on the correlation structure, and further explore their impacts on the risk characteristics of CDO tranches.
Relation:	NTU Management Review, 24(S1), 97-132
Data Type:	article
DOI link:	http://dx.doi.org/10.6226/NTURM2014.APR.D08
DOI:	10.6226/NTURM2014.APR.D08
Appears in Collections:	[Department of Money and Banking] Periodical Articles

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