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政大機構典藏 > 商學院 > 統計學系 > 期刊論文 > Item 140.119/76006

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Title:	Mixture of NIG and closed skewed normal distribution for pricing CDOS
Authors:	Liu, Huimei;Chuang, C.-L. 劉惠美
Contributors:	統計系
Keywords:	CDO;Closed skewed normal distribution;Double normal;Gaussian copula models;Inverse gaussian;Large homogeneous portfolio;Normal inverse Gaussian distribution;One-factor;Costs;Gaussian distribution;Mixtures;Normal distribution
Date:	2011-08
Issue Date:	2015-06-22 14:28:03 (UTC+8)
Abstract:	The one-factor double Gaussian copula model under the large homogeneous portfolio (LHP) assumption fails to fit the prices of CDO tranches (Li 2004), resulting in implied base correlation skew. Kalemanova et al. (2007, The Journal of Derivatives, pp.80-93) used a one-factor double Normal Inverse Gaussian (NIG) copula model to price CDO tranches. The NIG model not only economizes on time but also fits the equity tranches exactly; however, it fails to adequately price other tranches simultaneously. In this paper, we propose a mixture of NIG and closed skew normal (CSN) distributions to price the CDOs. The CSN has properties similar to the normal distribution, such as closure under convolution, and has extra parameters to control the shape of the distribution. This mixture performs quite well and brings more flexibility to the dependence structure. © 2011 ISSN 1881-803X.
Relation:	ICIC Express Letters, 5(8B), 2939-2943
Data Type:	article
Appears in Collections:	[統計學系] 期刊論文

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