CAJ | 학술논문

利用高维Archimedean Copula模型对合成CDO进行定价，在传统简单Archimedean Copula的基础上，基于三种不同的方式，引入多个参数，从而解决作为市场基准的Gaussian Copula模型下存在相关性微笑的问题。对于特殊的大样本同质资产组合，违约损失分布可以直接从违约概率得到。而对于一般性的资产组合，可以得到损失的特征函数，从而通过快速Fourier变换，计算出违约的分布。最后，给出了数值计算结果。
이용고유Archimedean Copula모형대합성CDO진행정개，재전통간단Archimedean Copula적기출상，기우삼충불동적방식，인입다개삼수，종이해결작위시장기준적Gaussian Copula모형하존재상관성미소적문제。대우특수적대양본동질자산조합，위약손실분포가이직접종위약개솔득도。이대우일반성적자산조합，가이득도손실적특정함수，종이통과쾌속Fourier변환，계산출위약적분포。최후，급출료수치계산결과。
Models with high-dimensional Archimedean Copula were used to price synthetic CDO. Based on traditional Archimedean Copula, multiparameter Archimedean Copula was derived with three different methods. Through these methods, correlation skews problem in benchmark Gaussian Copula model can be solved. For large homogeneous portfolios, loss distribution can be directly got from default probability. Some numerical results are listed in the last part.