Industrial credit derivative mathematical tranche evaluation

Stikhova O.V.

MSTU “STANKIN”127055, Russia, Moscow, Vadkovskiy lane, 1

The industry obligations secondary market risk estimation methods are considered in this paper. Credit default swap (CDS) is the complicated construction base. In any credit default case the nominal CDS is paid by the credit protection seller. Our multiparametrical model based on Generalised Hyperbolic Copula with Generalised Hyperbolic margins. It is possible to use several copulas at once to have GH-copula with the margins and tail independence. The new tranche estimation mathematical methods of industrial derivatives taking into account statistically significant parameters, allowing for credit derivatives portofolio are offered for single-name investment risks numerical experiments realization.

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