Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Model de CDO amb còpula× | Valoració neutral al risc× | |
|---|---|---|
| Camp | Finances quantitatives | Finances quantitatives |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2000 | 1979 |
| Autor original≠ | David X. Li | John Harrison and David Kreps |
| Tipus≠ | Credit Portfolio Model | Fundamental Principle |
| Font seminal≠ | Li, D. X. (2000). On default correlation: A copula function approach. Journal of Fixed Income, 9(4), 43-54. DOI ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Àlies | Copula Default Model, CDO Pricing | Risk-Neutral Measure, Q-Measure |
| Relacionats≠ | 3 | 4 |
| Resum≠ | The copula CDO model (Li 2000) uses Gaussian copulas to price collateralized debt obligations (CDOs) by modeling joint default probabilities across a portfolio of bonds. The model became the industry standard for CDO pricing but was heavily criticized post-2008 for underestimating tail risk and correlation breakdowns during crises. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
| ScholarGateConjunt de dades ↗ |
|
|