The SkewedtDistribution for Portfolio Credit Risk

Description

The Skewed t Distribution for Portfolio Credit Risk∗ Wenbo Hu† Bell Trading Alec N. Kercheval‡ Florida State University Abstract Portfolio credit derivatives, such as basket credit default swaps (basket CDS), require for their pricing an estimation of the depen- dence structure of defaults, which is known to exhibit tail dependence as reflected in observed default contagion. A popular model with this property is the (Student's) t copula; unfortunately there is no fast method to calibrate the degree of freedom parameter.

• distribution of daily equity prices
• normal mean-variance mixture variable with distribution
• basket cds
• dependence structure of prices
• default times
• basket credit default swaps
• inverse gamma distribution
• multivariate equity returns
• distributions
• distribution

Sujets

• Trading
• Florida State University
• Crédit
• Distribution
• Default
• Structure
• Basket
• Variance
• Equity

Informations

• Publié par: figas
• Nombre de lectures: 10
• Langue: English
• Poids de l'ouvrage: 1 Mo

Extrait

Oracle Process Manufacturing
Quality Management User’s Guide
Release 11i
June 2002
Part No. A77220-05OracleProcessManufacturingQualityManagementUser’sGuide,Release11i
PartNo. A77220-05
Copyright©1996,2002,OracleCorporation.Allrightsreserved.
PrimaryAuthor: RichardD.Persen
ContributingAuthors: LeAtaJackson,ElaineWan
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respectiveowners.Contents
Send Us Your Comments................................................................................................................... ix
Preface............................................................................................................................................................ xi
AudienceforThisGuide...................................................................................................................... xi
HowToUseThisGuide....................................................................................................................... xi
DocumentationAccessibility........................................................................................................ xii
OtherInformationSources................................................................................................................. xii
OnlineDocumentation................................................................................................................... xiii
RelatedUser’sGuides.................................................................................................................... xiii
GuidesRelatedtoAllProducts.................................................................................................... xiii
OracleProcessManufacturingDocumentation........................................................................ xiv
InstallationandSystemAdministration................................................................................... xviii
OtherImplementationDocumentation....................................................................................... xx
TrainingandSupport.................................................................................................................... xxi
DoNotUseDatabaseToolstoModifyOracleApplicationsData............................................ xxii
AboutOracle........................................................................................................................................ xxii
YourFeedback..................................................................................................................................... xxiii
1 Quality Control Setup
SettingUptheOPMQualityResponsibility................................................................................ 1-2
SettingUpActionCodes................................................................................................................... 1-4
SettingUpActionCodesProcedure.......................................................................................... 1-4
ActionCodesFieldReference..................................................................................................... 1-4
SettingUpQualityControlGrades................................................................................................. 1-5
iiiSettingUpQualityControlGradesProcedure......................................................................... 1-5
GradesFieldReference................................................................................................................ 1-5
SettingUpQualityControlHoldReasons.................................................................................... 1-6
SettingUpQualityControlHoldReasonsProcedure............................................................. 1-6
HoldReasonsFieldReference.................................................................................................... 1-6
SettingUpAssayClasses.................................................................................................................. 1-7
SettingUpAssayClassesProcedure......................................................................................... 1-7
AssayClassesFieldReference.................................................................................................... 1-7
SettingUpInventoryItemQualityControlAttributes............................................................... 1-8
InventoryItemQualityControlAttributesGradeControl.................................................... 1-8
SettingUpInventoryItemQualityControlAttributesProcedure........................................ 1-8
InventoryItemQualityControlAttributesFieldReference.................................................. 1-8
SettingUpLotStatusControl........................................................................................................ 1-10
2 Test Specifications Setup
UnderstandingTestSpecifications.................................................................................................. 2-2
SettingUpQualityControlAssayUnitsofMeasure.................................................................. 2-3
SettingUpQualityControlAssayUnitsofMeasureProcedure........................................... 2-3
UnitsFieldReference................................................................................................................... 2-3
SettingUpAssayTypes..................................................................................................................... 2-4
SettingUpAssayTypesProcedure............................................................................................ 2-6
AssaysWindowFieldReference................................................................................................ 2-7
EnteringExperimentalError........................................................................................................... 2-10
EnteringExperimentalErrorProcedure.................................................................................. 2-12
ExperimentalErrorFieldReference......................................................................................... 2-14
SettingUpQualityControlItem/LocationSpecifications........................................................ 2-15
SettingUpQualityControlItem/LocationSpecificationsProcedure................................ 2-16
Item/LocationSpecificationsFieldReference........................................................................ 2-16
SettingUpCustomer/VendorSpecifications............................................................................... 2-23
SettingUpCustomer/VendorSpecificationsProcedure...................................................... 2-30
Customer/VendorSpecificationsFieldReference................................................................ 2-30
SettingUpProductionSpecifications........................................................................................... 2-37
SettingUpProductionSpecificationsProcedure................................................................... 2-38
ProductionSpecificationsFieldReference.............................................................................. 2-39
iv3 Quality Control Sampling
UnderstandingQualityControlSampling.................................................................................... 3-2
RunningtheItem/LocationRequiredAnalysisReport.............................................................. 3-3
SubmittingtheReport............................................................................