<p>We introduce a new model to study the behavior of a portfolio of defaultable assets. We refer to this model as the Gaussian-Poisson model. It builds upon one-factor Gaussian copula models and Poisson models (specifically Cox processes). Our model utilizes a random variable <i>Y</i> along with probability measures ℙ<sup></sup> and ℙ<sup></sup>. The measures ℙ<sup></sup> and ℙ<sup></sup> will act as market pricing measures and are obtained via conditioning. The random variable <i>Y</i> will act as a default descriptor.</p>
<p> We provide the distribution of <i>Y</i> under both ℙ<sup></sup> and ℙ<sup></sup>. We use a conditional probability to examine expected portfolio and tranche losses, with applications including credit default swaps and collateralized debt obligations. The Gaussian-Poisson model requires a choice of an intensity model. We examine a portfolio loss' dependence upon parameters of the intensity model. Finally, we present three possible models of the intensity process. </p>
| Identifer | oai:union.ndltd.org:LSU/oai:etd.lsu.edu:etd-07062016-113754 |
| Date | 14 July 2016 |
| Creators | Brannan, Tyler |
| Contributors | Sengupta, Ambar, Wan, Xiaoliang, Cohen, Daniel, Cochran, George, Kurtz, Richard |
| Publisher | LSU |
| Source Sets | Louisiana State University |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lsu.edu/docs/available/etd-07062016-113754/ |
| Rights | unrestricted, I hereby certify that, if appropriate, I have obtained and attached herein a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to LSU or its agents the non-exclusive license to archive and make accessible, under the conditions specified below and in appropriate University policies, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report. |
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