Correlation Structures of Correlated Binomial Models and Implied Default Distribution

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dc.creatorMori, S.
dc.creatorKitsukawa, K.
dc.creatorHisakado, M.
dc.date2006-09-12
dc.date2008-09-18
dc.date.accessioned2026-07-07T12:07:51Z
dc.date.available2026-07-07T12:07:51Z
dc.descriptionWe 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 models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the differences in their profiles in terms of the correlation structures. The implied default distribution has singular correlation structures, reflecting the credit market implications. We point out two possible origins of the singular behavior.
dc.description16 pages, 7 figures
dc.identifierhttps://arxiv.org/abs/physics/0609093
dc.identifierhttp://arxiv.org/abs/physics/0609093
dc.identifierJ. Phys. Soc. Jpn. 77 (2008) 114802 (7 pages)
dc.identifierdoi:10.1143/JPSJ.77.114802
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209120
dc.subjectPhysics and Society
dc.subjectStatistical Finance
dc.titleCorrelation Structures of Correlated Binomial Models and Implied Default Distribution
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