Dynamic CDO term structure modeling

DOI10.1111/J.1467-9965.2010.00421.XMaRDI QIDQ3069957zbMATH OpenOpenAlexFDO

Authors Damir Filipović, Thorsten Schmidt, L. Overbeck

Publication date 2 February 2011

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00421.x

zbMATH Keywords

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
• Affine processes and applications in finance
• Background filtrations and canonical loss processes for top-down models of portfolio credit risk
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
• Term-structure models. A graduate course

Cited in

(24)

• Dependent defaults and losses with factor copula models
• Dynamics of multivariate default system in random environment
• Shot-noise driven multivariate default models
• Valuation of synthetic CDOs with affine jump-diffusion processes involving Lévy stable distributions
• Forward equations for option prices in semimartingale models
• Reduced-form framework for multiple ordered default times under model uncertainty
• Monotonicity of the collateralized debt obligations term structure model
• Pricing collateralized debt obligations with Markov-modulated Poisson processes
• Evaluation of cumulative random shocks generated from a semi-Markov modulated Poisson process and its application to CDO pricing
• Constant proportion debt obligations (CPDOs): modeling and risk analysis
• A general HJM framework for multiple yield curve modelling
• Doubly stochastic CDO term structures
• Market Models of Forward CDS Spreads
• Backward SDE representation for stochastic control problems with nondominated controlled intensity
• Financial crisis and pricing of CDO in general equilibrium
• The law of large numbers for self-exciting correlated defaults
• Dynamic defaultable term structure modeling beyond the intensity paradigm
• DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
• Copula dynamics in CDOs
• Affine processes on positive semidefinite matrices
• CDO term structure modelling with Lévy processes and the relation to market models
• A contagion process with self-exciting jumps in credit risk applications
• Invariant cones for jump-diffusions in infinite dimensions
• Affine models with path-dependence under parameter uncertainty and their application in finance

Describes a project that uses

Uses Software

• QRM

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