TY - GEN
T1 - Valuation of collateralized debt obligations in a multivariate subordinator model
AU - Sun, Yunpeng
AU - Mendoza-Arriaga, Rafael
AU - Linetsky, Vadim
PY - 2011/12/1
Y1 - 2011/12/1
N2 - The paper develops valuation of multi-name credit derivatives, such as collateralized debt obligations (CDOs), based on a novel multivariate subordinator model of dependent default (failure) times. The model can account for high degree of dependence among defaults of multiple firms in a credit portfolio and, in particular, exhibits positive probabilities of simultaneous defaults of multiple firms. The paper proposes an efficient simulation algorithm for fast and accurate valuation of CDOs with large number of firms.
AB - The paper develops valuation of multi-name credit derivatives, such as collateralized debt obligations (CDOs), based on a novel multivariate subordinator model of dependent default (failure) times. The model can account for high degree of dependence among defaults of multiple firms in a credit portfolio and, in particular, exhibits positive probabilities of simultaneous defaults of multiple firms. The paper proposes an efficient simulation algorithm for fast and accurate valuation of CDOs with large number of firms.
UR - http://www.scopus.com/inward/record.url?scp=84863270546&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84863270546&partnerID=8YFLogxK
U2 - 10.1109/WSC.2011.6148067
DO - 10.1109/WSC.2011.6148067
M3 - Conference contribution
AN - SCOPUS:84863270546
SN - 9781457721083
T3 - Proceedings - Winter Simulation Conference
SP - 3742
EP - 3754
BT - Proceedings of the 2011 Winter Simulation Conference, WSC 2011
T2 - 2011 Winter Simulation Conference, WSC 2011
Y2 - 11 December 2011 through 14 December 2011
ER -