Pricing CDO tranches in an intensity based model with the mean reversion approach (Q614311): Difference between revisions

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Property / DOI: 10.1016/j.mcm.2010.05.012 / rank
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Property / author: Wei Yang / rank
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Property / author: Wei Yang / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.mcm.2010.05.012 / rank
 
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Latest revision as of 23:18, 9 December 2024

scientific article
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Pricing CDO tranches in an intensity based model with the mean reversion approach
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    Pricing CDO tranches in an intensity based model with the mean reversion approach (English)
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    27 December 2010
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    credit risk
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    intensity based model
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    mean reversion
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    collateralized debt obligations (CDOs)
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    cashflow CDO
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    synthetic CDO
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