政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76006
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113313/144292 (79%)
Visitors : 50948590      Online Users : 934
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76006


    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:[Department of Statistics] Periodical Articles

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML2979View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback