RT Generic
T1 Pricing tranched credit products with generalized multifactor models
A1 Moreno, M.
A1 Peña, Juan Ignacio
A1 Serrano, P.
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growingsegments in the credit derivatives industry. However, some assumptions underlying the standardGaussian onefactorpricing model (homogeneity, single factor, Normality), which is the pricingstandard widely used in the industry, are probably too restrictive. In this paper we generalize thestandard model by means of a two by two model (two factors and two asset classes). We assumetwo driving factors (business cycle and industry) with independent tStudentdistributions,respectively, and we allow the model to distinguish among portfolio assets classes. In order toillustrate the estimation of the parameters of the model, an empirical application with Moody'sdata is also included.
YR 2007
FD 2007-05
LK https://hdl.handle.net/10016/720
UL https://hdl.handle.net/10016/720
LA eng
LA eng
DS e-Archivo
RD 27 jul. 2024