Binomial Approximation to Locally Dependent Collateralized Debt Obligations

被引：1

作者：

Kumar, Amit N. ^{[1
]}

Vellaisamy, P. ^{[2
]}

机构：

[1] Indian Inst Technol BHU, Dept Math Sci, Varanasi 221005, Uttar Pradesh, India

[2] Indian Inst Technol, Dept Math, Mumbai 400076, India

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2023年 / 25卷 / 04期

关键词：

Binomial distribution; Error bounds; Stein's method; CDO; STEINS METHOD; POISSON APPROXIMATION; SUMS;

D O I：

10.1007/s11009-023-10057-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we develop Stein's method for binomial approximation using the stop-loss metric that allows one to obtain a bound on the error term between the expectation of call functions. We obtain the results for a locally dependent collateralized debt obligation (CDO), under certain conditions on moments. The results are also exemplified for an independent CDO. Finally, it is shown that our bounds are sharper than the existing bounds.

引用

页数：18

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