Doubly stochastic CDO term structures

DOI10.1007/978-3-0348-0021-1_23MaRDI QIDQ2904888zbMATH OpenOpenAlexFDO

Authors Damir Filipović, Thorsten Schmidt, L. Overbeck

Publication date 24 August 2012

Published in Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0021-1_23

zbMATH Keywords

affine term structurecollateralized debt obligationsloss processsingle tranche CDOterm structure of forward spreads

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Credit risk (91G40)

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Cites work

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• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Recovering portfolio default intensities implied by CDO quotes
• Term-structure models. A graduate course

Cited in

(3)

• Monotonicity of the collateralized debt obligations term structure model
• Dynamic CDO term structure modeling
• CDO term structure modelling with Lévy processes and the relation to market models

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