Porównaj metody
Przeglądaj wybrane metody obok siebie; wiersze, które się różnią, są wyróżnione.
| Model CDO z kopułą× | Wycena w mierze neutralnej względem ryzyka× | |
|---|---|---|
| Dziedzina | Finanse ilościowe | Finanse ilościowe |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2000 | 1979 |
| Twórca≠ | David X. Li | John Harrison and David Kreps |
| Typ≠ | Credit Portfolio Model | Fundamental Principle |
| Źródło pierwotne≠ | 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 ↗ |
| Inne nazwy | Copula Default Model, CDO Pricing | Risk-Neutral Measure, Q-Measure |
| Pokrewne≠ | 3 | 4 |
| Podsumowanie≠ | 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. |
| ScholarGateZbiór danych ↗ |
|
|