A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (Q3521602)
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scientific article; zbMATH DE number 5315862
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| English | A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING |
scientific article; zbMATH DE number 5315862 |
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A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING (English)
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26 August 2008
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dynamic model of CDOs
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dynamic copula
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conditional Markov process
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options on tranches
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option on CDO tranche
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portfolio loss
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SPA model
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leveraged super-senior
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0.7713986039161682
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0.7710025310516357
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0.7684654593467712
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0.764018714427948
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0.7635958790779114
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