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Pricing tranched credit products with generalized multifactor models

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorMoreno, M.
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorSerrano, P.
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía de la Empresa
dc.date.accessioned2007-05-04T09:20:32Z
dc.date.available2007-05-04T09:20:32Z
dc.date.issued2007-05
dc.description.abstractThe market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard widely used in the industry, are probably too restrictive. In this paper we generalize the standard model by means of a two by two model (two factors and two asset classes). We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes. In order to illustrate the estimation of the parameters of the model, an empirical application with Moody's data is also included.
dc.format.extent419877 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb073909
dc.identifier.urihttps://hdl.handle.net/10016/720
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Business Economics
dc.relation.ispartofseries07-09
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresa
dc.subject.otherCollateral debt obligations
dc.subject.otherFactor models
dc.subject.otherProbit-Logit models
dc.titlePricing tranched credit products with generalized multifactor models
dc.typeworking paper*
dspace.entity.typePublication
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