A note on the correlation smile

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dc.contributor.author Hager, Svenja de_DE
dc.contributor.author Schöbel, Rainer de_DE
dc.date.accessioned 2005-12-09 de_DE
dc.date.accessioned 2014-03-18T10:02:22Z
dc.date.available 2005-12-09 de_DE
dc.date.available 2014-03-18T10:02:22Z
dc.date.issued 2005 de_DE
dc.identifier.other 251812847 de_DE
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-opus-21079 de_DE
dc.identifier.uri http://hdl.handle.net/10900/47441
dc.description.abstract The correct modeling of default dependence is essential for the valuation of multiname credit derivatives. However for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations, default intensities and recovery rates for all assets in the reference portfolio has become the standard market model. If this model were a reflection of market opinion there wouldn’t be the implied correlation smile that is observed in the market. The purpose of this paper is to explain the structure of the smile by discussing the influence of different correlation matrices on CDO spreads. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podno de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_ohne_pod.php?la=en en
dc.subject.classification Derivat <Wertpapier> de_DE
dc.subject.ddc 330 de_DE
dc.subject.other default risk , CDOs , implied correlation smile , correlation matrix en
dc.title A note on the correlation smile de_DE
dc.type ResearchPaper de_DE
utue.publikation.fachbereich Wirtschaftswissenschaften de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
dcterms.DCMIType Text de_DE
utue.publikation.typ workingPaper de_DE
utue.opus.id 2107 de_DE
utue.opus.portal wiwidisk de_DE
utue.opus.portalzaehlung 297.00000 de_DE
utue.publikation.source Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 297 de_DE
utue.publikation.reihenname Tübinger Diskussionsbeitrag de_DE
utue.publikation.zsausgabe 297
utue.publikation.erstkatid 2136475-8

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Aufrufstatistik

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