We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, We derive explicit formulas for CDO tranche sensitivity to parameter variations, and prove results concerning the qualitative behavior of such tranche sensitivities, as well as the large-N behavior, for a homogeneous portfolio governed by the one-factor Gaussian copula. A Poisson-mixture model is also investigated in a similar vein. Relevant simulations are presented.
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Awesome Book,
This review is from: STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES: RESULTS OF CDO TRANCHE SENSITIVITIES IN THE GAUSSIAN COPULA MODEL (Paperback)
It is a awesome book. You should get it. I love it. It really helps to get Greeks of CDOs and hedge the risk. Highly recommended.
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