英文标题：
《Dependent Defaults and Losses with Factor Copula Models》
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作者：
Damien Ackerer and Thibault Vatter
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最新提交年份：
2018
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英文摘要：
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our approach by fitting credit index tranche prices.
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中文摘要：
我们提出了一类灵活且易于处理的联合违约概率期限结构静态因子模型，即因子copula模型。这些高维模型与成对copula结构保持简约，并嵌套许多标准模型作为特例。当在有限网格上离散支持单个损失时，可以准确有效地计算或有权益投资组合的损失分布。数值例子研究了影响损失分布和多名称信用衍生品价格的关键特征。一项实证研究通过拟合信贷指数份额价格说明了我们方法的灵活性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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