Dynamic Implied Correlation Modeling and Forecasting in Structured Finance

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Sebastian Löhr
  • Olga Mursajew
  • Daniel Rösch
  • Harald Scheule

Organisationseinheiten

Externe Organisationen

  • University of Technology Sydney
  • Universität Regensburg
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Details

Titel in ÜbersetzungDynamische implizite Korrelationsmodellierung und Vorhersage in der strukturierten Finanzierung
OriginalspracheEnglisch
FachzeitschriftJournal of Futures Markets
Jahrgang2013
Ausgabenummer33, 11
PublikationsstatusVeröffentlicht - 2013

Abstract

Correlations are the main drivers for credit portfolio risk and constitute a major element in pricing credit derivatives such as synthetic single‐tranche collateralized debt obligation swaps. This study suggests a dynamic panel regression approach to model and forecast implied correlations. Random effects are introduced to account for unobservable time‐specific effects on implied tranche correlations. The implied‐correlation forecasts of tranche spreads are compared to forecasts using historical correlations from asset returns. The empirical findings support our proposed dynamic mixed‐effects regression correlation model.

ASJC Scopus Sachgebiete

Zitieren

Dynamic Implied Correlation Modeling and Forecasting in Structured Finance. / Löhr, Sebastian; Mursajew, Olga; Rösch, Daniel et al.
in: Journal of Futures Markets, Jahrgang 2013, Nr. 33, 11, 2013.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Löhr S, Mursajew O, Rösch D, Scheule H. Dynamic Implied Correlation Modeling and Forecasting in Structured Finance. Journal of Futures Markets. 2013;2013(33, 11). doi: https://doi.org/10.1002/fut.21626
Löhr, Sebastian ; Mursajew, Olga ; Rösch, Daniel et al. / Dynamic Implied Correlation Modeling and Forecasting in Structured Finance. in: Journal of Futures Markets. 2013 ; Jahrgang 2013, Nr. 33, 11.
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