Dynamic CDO term structure modeling (Q3069957)
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scientific article; zbMATH DE number 5843567
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dynamic CDO term structure modeling |
scientific article; zbMATH DE number 5843567 |
Statements
DYNAMIC CDO TERM STRUCTURE MODELING (English)
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2 February 2011
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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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0.906179428100586
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0.8163596391677856
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0.8144203424453735
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0.7887760400772095
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0.7826632857322693
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