DYNAMIC CDO TERM STRUCTURE MODELING (Q3069957)

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DYNAMIC CDO TERM STRUCTURE MODELING
scientific article

    Statements

    title
    DYNAMIC CDO TERM STRUCTURE MODELING (English)
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    author
    Damir Filipović
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    Ludger Overbeck
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    Thorsten Schmidt
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    publication date
    2 February 2011
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    zbMATH Keywords
    affine term structure
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    collateralized debt obligations
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    loss process
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    single tranche CDO
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    term structure of forward spreads
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    Identifiers

    zbMATH DE Number
    5843567
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