Research articles
ScienceAsia 47 (2021):ID 388-392 |doi:
10.2306/scienceasia1513-1874.2021.041
Refinement on Poisson approximation of CDOs
Nat Yonghinta, Kritsana Neammaneea,b,*
ABSTRACT: A collateralized debt obligation (CDO) is a type of structured asset-backed securities. It is one of the
causes of the financial crisis in 2007-2008. Jiao and Karoui [Finance Stoch 13 (2009):151-180] and Neammanee
and Yonghint [Bull Malays Math Sci Soc 43 (2020):1135-1152] approximated the mean of CDO tranche loss by using
Poisson distribution. In this paper, we improve their results by adding a correction term and show that the order of
our bounds is better than those previous results. Our main tools are Stein-Chen's method and the technique from
Neammanee and Thongtha [Stoch Model Appl 9 (2006):13-23].
Download PDF
85 Downloads 1003 Views
| a |
Department of Mathematics and Computer Science, Faculty of Science, Chulalongkorn University,
Bangkok 10330 Thailand |
| b |
Centre of Excellence in Mathematics, Commission on Higher Education, Bangkok 10400 Thailand |
* Corresponding author, E-mail: Kritsana.N@chula.ac.th
Received 22 Jun 2020, Accepted 24 Mar 2021
|
