Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes (Q2873143)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes |
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Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous Lévy Processes (English)
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23 January 2014
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collateralized debt obligations
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loss process
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single tranche CDO
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ESB
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top-down model
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discrete tenor
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market model
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time-inhomogeneous Lévy processes
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Libor rate
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affine processes
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extended Kalman filter
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iTraxx
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