Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/79604
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2012-032
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market. We analyse the European market of standardized CDOs using tranches of iTraxx index in the periods before and during the global financial crisis. We investigate the evolution of the correlations using different copula models: the standard Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying vector of parameters. We analyse the dynamic pattern of these coefficients. That enables us to forecast future parameters and consequently calculate Value-at-Risk measures for iTraxx Europe tranches.
Schlagwörter: 
CDO
multivariate distributions
copula
implied correlations
Value-at- Risk
JEL: 
C13
C22
C53
G32
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
629.7 kB





Publikationen in EconStor sind urheberrechtlich geschützt.