JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS

被引：4
|
作者：
Epple, Friedel [1 ]
Morgan, Sam [1 ]
Schloegl, Lutz [1 ]
机构：
[1] Lehman Bros, 25 Bank St, London E14 5LE, England
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2007年 / 10卷 / 04期
关键词：
CDOs; correlation modelling; path-dependent portfolio derivatives;
D O I：
10.1142/S0219024907004354
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The pricing of exotic portfolio products, e.g. path-dependent CDO tranches, relies on the joint probability distribution of portfolio losses at different time horizons. We discuss a range of methods to construct the joint distribution in a way that is consistent with market prices of vanilla CDO tranches. As an example, we show how our loss-linking methods provide estimates for the breakeven spreads of forward-starting tranches.
引用
收藏
页码：733 / 748
页数：16
相关论文
共 50 条
  • [31] Intertemporal Forecasts of Defaulted Bond Recoveries and Portfolio Losses*
    Kalotay, Egon A.
    Altman, Edward I.
    REVIEW OF FINANCE, 2017, 21 (01) : 433 - 463
  • [32] Direct Calculation of the Probability Distribution for Earthquake Losses to a Portfolio
    Wesson, Robert L.
    Perkins, David M.
    Luco, Nicolas
    Karaca, Erdem
    EARTHQUAKE SPECTRA, 2009, 25 (03) : 687 - 706
  • [33] Dynamic model of losses of creditor with a large mortgage portfolio
    Smid, Martin
    Gapko, Petr
    PROCEEDINGS OF 47TH EWGFM MEETING, 2010, : 153 - 161
  • [34] JOINT DETERMINATION OF PORTFOLIO AND TRANSACTION DEMANDS FOR MONEY
    CHEN, AHY
    JEN, FC
    ZIONTS, S
    JOURNAL OF FINANCE, 1974, 29 (01): : 175 - 186
  • [35] JOINT DETERMINATION OF PORTFOLIO AND TRANSACTION DEMANDS FOR MONEY
    CHEN, AH
    ZIONTS, S
    JEN, FC
    ECONOMETRICA, 1971, 39 (04) : 406 - &
  • [36] Strategies to Improve Portfolio Management of New Products
    Cooper, Robert G.
    Desai, Meetal
    Green, Lee
    Kleinschmidt, Elko J.
    RESEARCH-TECHNOLOGY MANAGEMENT, 2024, 67 (01) : 55 - 66
  • [37] Integrated portfolio planning of products and production systems
    Bruch, Jessica
    Bellgran, Monica
    JOURNAL OF MANUFACTURING TECHNOLOGY MANAGEMENT, 2014, 25 (02) : 155 - 174
  • [38] Optimal Portfolio of Products in a Polycrystalline Silicon Refinery
    Ramirez-Marquez, Cesar
    Martin-Hernandez, Edgar
    Martin, Mariano
    Segovia-Hernandez, Juan Gabriel
    INDUSTRIAL & ENGINEERING CHEMISTRY RESEARCH, 2020, 59 (22) : 10552 - 10567
  • [39] A broad portfolio of EP(D)M products
    不详
    KAUTSCHUK GUMMI KUNSTSTOFFE, 1998, 51 (12): : 832 - 832
  • [40] WHAT MAKES A PORTFOLIO A PORTFOLIO
    PAULSON, FL
    PAULSON, PR
    MEYER, CA
    EDUCATIONAL LEADERSHIP, 1991, 48 (05) : 60 - 63
12345