cdo与cdo2评价.pptVIP

* * * * * * * * * * * * Factor Copula Probability Bucketing Factor Copula Probability Bucketing數值方法 Factor Copula 模型設定 (Hull White 2004) Factor Copula Next Step 利用Hull and White (2004) probability bucketing方法估算離散型之CDO條件違約損失分配，如此再透過Gaussian Quadrature積分技巧之運用，即可估得損失機率分配 Probability Bucketing Model Setting Choose buckets{0,b0},{b0,b1},…,{bK-1, ∞} for the loss distribution. {0,b0} is the 0-th bucket;{bn-1,bn} is the n-th bucket(1≦n ≦K-1); {bK-1, ∞} is the K-th bucket. pn: the condtional probability that the loss by time T will be in the n-th bucket An: the mean loss conditional that the