Correlation Structures of Correlated Binomial Models and Implied Default Distribution

Preprint OPEN
Mori, S.; Kitsukawa, K.; Hisakado, M.;

We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic ... View more
  • References (20)
    20 references, page 1 of 2

    1) P. J. Scho¨nbucher: Credit Derivatives Pricing Models: Model, Pricing and Implementation, U.S. John Wiley & Sons (2003).

    2) J.-P. Bouchaud and M. Potters: Theory of Financial Risks, Cambridge University Press (2000).

    3) R. A. Mantegna and H. E. Stanley; An Introduction to Econophysics, Cambridge University Press (2000).

    4) M. Davis and V. Lo; Quantitative Finance 1 (1999) 382.

    5) K. Kitsukawa, S. Mori, and M. Hisakado; Physica A368 (2006) 191.

    6) A. Sakata, M. Hisakado and S. Mori; J.Phys.Soc.Jp. 76(2007) 054801.

    7) A. Aleksiejuk and A. Holyst; Physica A299,(2001) 198.

    8) G. Iori and S. Jaferey; Physica A299(2001) 205.

    9) W. Souma, Y. Fujiwara, and H. Aoyama; Physica A324 (2003) 396.

    10) A. M. Chmiel, J. Sienkiewicz, J. Suchecki and J.A. Holyst; Physica A383(2007) 134.

  • Related Organizations (2)
  • Metrics
Share - Bookmark