Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration (Q3580037): Difference between revisions
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Latest revision as of 10:18, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration |
scientific article |
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Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration (English)
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11 August 2010
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portfolio credit derivatives
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collateralized debt obligation
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inverse problem
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expected tranche notionals
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quadratic programming
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calibration
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