STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS,
Lien de l'article:
http://dx.doi.org/10.17654/DM028010049
Auteur(s):
Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Frédéric Béré and Diakarya Barro
Auteur(s) tagués:
Vini Yves Bernadin LOYARA ;
Résumé
This paper deals with the family of nested Archimedean copulas in sampling financial risk factors. We propose the fourth and fifth orders of extensions of nested Archimedean copulas. Some tests of simulations on the functional are made for the risk factors. The CDS portfolio and discount factors are clarified while the cash portion of annualized CDO relationship has been computed involving some risk factors through the functional.
Mots-clés
Archimedean copulas nested Archimedean copulas portfolio risk CDO pricing expected premiums CDS portfolio default premiums default premiums