On break-even correlation: the way to price structured credit derivatives by replication (Q4683100): Difference between revisions

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+W2096511611
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+.2251
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+Pricing CDOs with state-dependent stochastic recovery rates
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+BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
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+Credit risk: Modelling, valuation and hedging
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+Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration
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+Dynamic Hedging of Portfolio Credit Derivatives
@@ Property / cites work: Dynamic Hedging of Portfolio Credit Derivatives / rank @@
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+PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
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+Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
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+Hedging default risks of CDOs in Markovian contagion models
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+Publication:4683100