论文标题
二项式近似与局部依赖的CDO
Binomial Approximation to Locally Dependent CDO
论文作者
论文摘要
在本文中，我们使用停止损失度量制定Stein的二项式近似方法，该方法允许人们在呼叫函数期望之间获得错误项的绑定。在某些条件下，我们在某些条件下获得了本地依赖的抵押债务义务（CDO）的结果。对于独立的CDO，结果也被例证。最后，这表明我们的界限比现有的界限更加明显。
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.
