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10、nt nancialinnovations.In2008,thecreditderivativesmarketwasshockedbytheoutbreakofthesubprimecrisislargelyanditstradingvolumehadfallensharplyandsomespecieswereclosetostagnant.Withtherecoveryoftheglobaleconomyinrecentyears,thecreditderivativesarebecomingactiveandCDOisoneofthegrowingfastestspecie
11、s.TheGaussianfactorcopulamodelisthestandardmodelin nancialindustryforCDOpricingandriskmanagement.However,becauseoftheleptokurtosisfeatureof nancialdata,thismodelcannotmatchallmarketpricesofthestandardCDOtranches,andthereexistsimpliedcorrelationsmileandotherphenomenawhicharenotconsistentwithth
12、emodelassumptions.Ontheotherhand,itprovidesarbitrageopportunitywhenanon-constantcorrelationisinvolved,anditisastaticmodel,whichisnotapplicabletoCDOtrancheswithdi erentmaturities.Forthe rstissue,thisthesisintroducesthestabledistribution,whichischaracterizedofleptokurtosisandfourfreeparameters,
13、todescribethe nancialriskfactor,insteadofthegaussiandistribution.However,thereisnoexplicitdensityfunctionorcumulativedistribution,whichbringsthemodelgreatcomputationaltaskandcomplexity.ThisthesisreferencesthealgorithmsofJ.P.Nolanandusesmatlab
